This paper presents an endogenous switching regression model for the exchange rate process where the switch is defined by the central bank criteria functions for intervening. We study the signal effect of interventions on the exchange rate using Norwegian daily data on official interventions. We...

The Norwegian currency basket and the NOK/USD exchange rate observed at two different times of the day are modeled as ARCH or GARCH process. The analysis yields four main conclusions. First, the conditional variance of the basket index is smaller than the conditional variance of the NOK/USD...