scholarly journals Perceived Central Bank Intervention and Market Expectations: An Empirical Study of the Yen/Dollar Exchange Rate, 1993-96

1999 ◽  
Author(s):  
Gabriele Galati ◽  
William R. Melick
Keyword(s):  
Exchange Rate ◽  
Empirical Study ◽  
Central Bank ◽  
Central Bank Intervention ◽  
Dollar Exchange Rate ◽  
Market Expectations

scholarly journals Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate

2021 ◽  
Vol 8 (4) ◽  
pp. 31
Author(s):  
KHATTAB Ahmed ◽  
SALMI Yahya
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Selection Criterion ◽  
Econometric Models ◽  
Interbank Market ◽  
Foreign Exchange Reserves ◽  
Central Bank Intervention ◽  
The Exchange Rate

The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.

scholarly journals Central bank intervention and exchange rate volatility, its continuous and jump components

2007 ◽  
Vol 12 (2) ◽  
pp. 201-223 ◽  
Author(s):  
Michel Beine ◽  
Jérôme Lahaye ◽  
Sébastien Laurent ◽  
Christopher J. Neely ◽  
Franz C. Palm
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rate Volatility ◽  
Central Bank Intervention

scholarly journals Exchange Rate Market Expectations and Central Bank Policy: The Case of the Mexican Peso/U.S. Dollar from 2005–2009

2012 ◽  
Vol 19 (4) ◽  
pp. 70-90 ◽  
Author(s):  
Gustavo Lesser Abarca ◽  
Guillermo Benavides ◽  
José Gonzalo Rangel
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Market Expectations ◽  
Mexican Peso
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