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

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.