央行干预有效性与我国人民币汇率波动研究<br>Effectiveness of Central Bank Intervention and RMB Exchange Rate Fluctuations in China

2011 ◽  
Vol 01 (03) ◽  
pp. 150-155
Author(s):  
姜 照宇
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Central Bank Intervention ◽  
Rmb Exchange Rate ◽  
Exchange Rate Fluctuations

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
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