| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 964795 | Journal of International Money and Finance | 2006 | 18 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Peter Brandner, Harald Grech, Helmut Stix,