Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/46696
Authors: 
Döpke, Jörg
Pierdzioch, Christian
Year of Publication: 
1999
Series/Report no.: 
Kiel Working Paper 955
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.
Subjects: 
Multinomial logit model
exchange rate volatility
central bank foreign exchange market interventions
JEL: 
F31
Document Type: 
Working Paper

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