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dc.contributor.authorDöpke, Jörgen_US
dc.contributor.authorPierdzioch, Christianen_US
dc.date.accessioned2011-06-30T14:51:58Z-
dc.date.available2011-06-30T14:51:58Z-
dc.date.issued1999en_US
dc.identifier.urihttp://hdl.handle.net/10419/46696-
dc.description.abstractUsing daily Bundesbank foreign exchange market intervention data, we employ a multinomial logit approach to estimate an intervention reaction function for the German Central Bank using options implied volatilities and the deviation of the exchange rate from its target level as explanatory variables. The empirical results underscore that distinguishing between positive and negative interventions improves the statistical properties of the Bundesbank reaction function. As the Bundesbank is often being seen as a paragon for the European Central Bank (ECB), we also discuss the implications of our results for the intervention policy of the ECB.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKiel Working Papers 955en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordMultinomial logit modelen_US
dc.subject.keywordexchange rate volatilityen_US
dc.subject.keywordcentral bank foreign exchange market interventionsen_US
dc.subject.stwWechselkurspolitiken_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.subject.stwReaktionsfunktionen_US
dc.subject.stwLogit-Modellen_US
dc.titleWhat can the ECB learn from Bundesbank interventions? Evidence on the link between exchange rate volatility and interventionsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn30572049Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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