Volatility expectations and asymmetric effects of direct interventions in the FX market |
| |
Institution: | 1. Department of Economics and CIREQ, McGill University, Montreal, Quebec H3A 2T7, Canada;2. Economie Publique, AgroParisTech, INRA, Université Paris Saclay, 78850 Thiverval-Grignon, France;3. EconomiX (UMR CNRS 7235), Université Paris Nanterre, France;4. CESifo, Munich, Germany |
| |
Abstract: | In this paper, I investigate the effects of central bank interventions (CBI) on ex-ante exchange rate volatility. I measure volatility expectations by implied volatilities estimated from at-the-money currency options prices. Using a Markov switching model, I estimate the effects of CBI which depend on market conditions. The results suggest that the effects of CBI depend on the prevailing volatility regime. It is found that CBI on the DEM–USD market were not necessarily destabilizing after the Louvre Agreement when expected volatility was relatively high. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|