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- W1969357771 abstract "Beine, Michel—Volatility expectations and asymmetric effects of direct interventions in the FX market 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. J. Japanese Int. Economies17 (1)" @default.
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- W1969357771 date "2003-03-01" @default.
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- W1969357771 title "Volatility expectations and asymmetric effects of direct interventions in the FX market" @default.
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- W1969357771 doi "https://doi.org/10.1016/s0889-1583(03)00002-9" @default.
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