This article assesses the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates over the period 1989 2003. We identify the currency components of the mean and volatility processes of exchange rates...

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying...

Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to...

In this paper, I investigate the effects of central bank interventions (CBIs) on the ex post correlation and covariance of exchange rates. Using a multivariate GARCH model with time-varying conditional covariances, we estimate the effects of CBIs on both the variances and covariance between the...

We measure stock market co-exeedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method is based on quantile regressions and enables us to measure comovement at each point of the return distribution. First, we construct an annual co-exeedance...

We measure stock market co-exeedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method is based on quantile regressions and enables us to measure comovement at each point of the return distribution. First, we construct an annual co-exeedance...

In this paper, we test for linear and nonlinear Granger causality between the French, German, Japanese, UK and US daily stock index returns from 1973 to 2003. To avoid spurious nonlinear causality, we filter out heteroskedasticity using a FIGARCH model and control for multiple structural breaks....

This paper investigates the determinants of bilateral immigrant ows to 19 OECD countries between 1998 and 2007 from both advanced and developing origin countries. We pay particular attention to dynamics by including both the lagged migrant ow and the migrant stock to capture partial adjustment...

This article describes a new Stata routine, xtbcfe, that performs the iterative bootstrap-based bias correction for the fixed effects (FE) estimator in dynamic panels proposed by Everaert and Pozzi (Journal of Economic Dynamics and Control, 2007). We first simplify the core of their algorithm...

type="main" xml:id="imre12137-abs-0001" <p>In this study, we use cross-country bilateral data to quantify a two-step process of international migration and its aggregate determinants. We first analyze which country-specific factors affect the probability that individuals join the pool of potential...</p>