The effectiveness of central bank intervention in the EMS: The post 1993 experience

被引：8

作者：

Brandner, Peter

Grech, Harald

Stix, Helmut

机构：

[1] Osterreich Natl Bank, Econ Studies Div, A-1011 Vienna, Austria

[2] Fed Minist Finance, A-1015 Vienna, Austria

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2006年 / 25卷 / 04期

关键词：

foreign exchange intervention; European monetary system; Markov switching ARCH;

D O I：

10.1016/j.jimonfin.2005.11.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the effectiveness of intervention in the European Monetary System by using data on the DEM-intervention activity of six European central banks, covering the period from August 1993 to April 1998. To allow for regime-specific intervention effects, we estimate Markov Switching Autoregressive Conditional Heteroscedasticity models. We find that interventions have only limited effects on the conditional means and variances. (c) 2005 Elsevier Ltd. All rights reserved.

引用

页码：580 / 597

页数：18

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