Central bank intervention and exchange rate volatility, its continuous and jump components
By: by Michel Beine ... [et al.].
Contributors: Federal Reserve Bank of St. Louis
Series: Working paper -- 2006-031A; Working paper (Federal Reserve Bank of St. Louis : Online) -- 2006-031A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2006
Place of publication: St. Louis, Mo.]
Language: eng
Format: [electronic resource] /
Subjects: Central Banks and banking; Foreign exchange rates
Description: "We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets.  Using recent econometric methods to estimate realized volatility, we decompose exchange rate volatility into two major components: a continuously varying component and jumps.  Some coordinated interventions affect the temporary (jump) part of the volatility process.  Most coordinated operations are associated with an increase in the persistent (continuous) part of exchange rate volatility"--Federal Reserve Bank of St. Louis web site.
Notes: Title from PDF file as viewed on 6/12/2006.

Includes bibliographical references.

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