Kiel Working Papers, Kiel Institute for World Economics
No 955:
What Can the ECB Learn from Bundesbank Interventions? ; Evidence on the Link Between Exchange Rate Volatility and Interventions
Jörg Döpke and Christian Pierdzioch
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.
Keywords: Multinomial logit model; exchange rate volatility; central bank foreign exchange market interventions; (follow links to similar papers)
JEL-Codes: F31; (follow links to similar papers)
30 pages, November 1999
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Downloadable files:
kap?selectedYear=1999 
Download Statistics
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design Joakim Ekebom
