Are Interventions Self Exciting? |
| |
Authors: | Fischer Andreas M Zurlinden Mathias |
| |
Institution: | (1) Swiss National Bank and CEPR, Postfach 8022, Zurich, Switzerland;(2) Swiss National Bank, Postfach 8022, Zurich, Switzerland |
| |
Abstract: | The time pattern of official interventions on the foreign exchange market exhibits periods of intense activity followed by long spells of inaction. In this paper, we examine whether the time interval between successive intervention matters for future interventions. To capture the properties of intervention duration an ACD model is used. The data are daily observations of interventions by the Federal Reserve, the Bundesbank and the Swiss National Bank. The evidence finds that the intervention duration is highly persistent and that the hazard is time dependent. |
| |
Keywords: | foreign exchange interventions central bank reaction function ACD models |
本文献已被 SpringerLink 等数据库收录! |
|