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Central bank intervention and the volatility of foreign exchange rates: evidence from the options market

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References

1987Efficient Analytic Approximation of American Option Values1,128 cited
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1995Predicting Volatility in the Foreign Exchange Market723 cited
1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
1979Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market502 cited
1995Does foreign exchange intervention work?273 cited

Cited by

1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility268 cited
2003Is sterilised foreign exchange intervention effective after all? an event study approach230 cited
2000A survey of market practitioners’ views on exchange rate dynamics214 cited
1997Intervention strategies and exchange rate volatility: a noise trading perspective178 cited
2004Identifying the efficacy of central bank interventions: evidence from Australia and Japan171 cited
2006When do central bank interventions influence intra-daily and longer-term exchange rate movements?163 cited
2007The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

162 cited

2014A High Frequency Assessment of the ECB Securities Markets Programme159 cited

2002Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations159 cited

1996U.S. Intervention : Assessing the Probability of Success155 cited

2009HIGH‐FREQUENCY ANALYSIS OF FOREIGN EXCHANGE INTERVENTIONS: WHAT DO WE LEARN?144 cited

1998Intraday effects of foreign exchange intervention by the Bank of Japan119 cited

2000Central bank intervention and exchange rate volatility — Australian evidence111 cited

2005Foreign exchange market intervention and expectations: The yen/dollar exchange rate106 cited

2004The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility101 cited

2002Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis100 cited