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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Döpke, Jörg | en |
dc.contributor.author | Pierdzioch, Christian | en |
dc.date.accessioned | 2011-06-30T14:51:58Z | - |
dc.date.available | 2011-06-30T14:51:58Z | - |
dc.date.issued | 1999 | - |
dc.identifier.citation | |nInstitut für Weltwirtschaft (IfW) |lKiel |y1999 | en |
dc.identifier.uri | http://hdl.handle.net/10419/46696 | - |
dc.description.abstract | Using 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 |
dc.language.iso | eng | en |
dc.publisher | |aKiel Institute of World Economics (IfW) |cKiel | en |
dc.relation.ispartofseries | |aKiel Working Paper |x955 | en |
dc.subject.jel | F31 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Multinomial logit model | en |
dc.subject.keyword | exchange rate volatility | en |
dc.subject.keyword | central bank foreign exchange market interventions | en |
dc.subject.stw | Wechselkurspolitik | en |
dc.subject.stw | Wechselkurs | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Deutschland | en |
dc.subject.stw | Reaktionsfunktion | en |
dc.subject.stw | Logit-Modell | en |
dc.title | What can the ECB learn from Bundesbank interventions? Evidence on the link between exchange rate volatility and interventions | - |
dc.type | Working Paper | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:ifwkwp:955 | en |
dc.identifier.printppn | 30572049X | en |
dc.date.issuedonline | 2011 | en |
dc.publisher.online | |aZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft |cKiel, Hamburg | en |
econstor.documentversion | Digitized Version | en |
econstor.citation.publisher | Institut für Weltwirtschaft (IfW) | en |
econstor.citation.publisherplace | Kiel | en |
econstor.citation.year | 1999 | en |
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