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dc.contributor.authorDöpke, Jörgen
dc.contributor.authorPierdzioch, Christianen
dc.date.accessioned2011-06-30T14:51:58Z-
dc.date.available2011-06-30T14:51:58Z-
dc.date.issued1999-
dc.identifier.citation|nInstitut für Weltwirtschaft (IfW) |lKiel |y1999en
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
dc.language.isoengen
dc.publisher|aKiel Institute of World Economics (IfW) |cKielen
dc.relation.ispartofseries|aKiel Working Paper |x955en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordMultinomial logit modelen
dc.subject.keywordexchange rate volatilityen
dc.subject.keywordcentral bank foreign exchange market interventionsen
dc.subject.stwWechselkurspolitiken
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.subject.stwReaktionsfunktionen
dc.subject.stwLogit-Modellen
dc.titleWhat can the ECB learn from Bundesbank interventions? Evidence on the link between exchange rate volatility and interventions-
dc.typeWorking Paperen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ifwkwp:955en
dc.identifier.printppn30572049Xen
dc.date.issuedonline2011en
dc.publisher.online|aZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft |cKiel, Hamburgen
econstor.documentversionDigitized Versionen
econstor.citation.publisherInstitut für Weltwirtschaft (IfW)en
econstor.citation.publisherplaceKielen
econstor.citation.year1999en

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