regime in the late 1990s. In particular, we ask whether these interventions have dumped excess exchange rate volatility and … reduced its probability of being in a high volatility state. To do so, we rely on a high-frequency GARCH(1,1) volatility model … that FX interventions in Chile tend to occur during high exchange rate volatility periods, which correlate with domestic …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

This paper analyzes the effects of changes in the Czech exchange rate mechanism on the volatility of the Czech spot … exchange rate. While related studies draw the conclusion that exchange rate volatility decreased after the widening of the … to a refined estimation technique, it becomes apparent that an increase rather than a decline in volatility has taken …

rate volatility‘ Mean GARCH models are used to investigate the efficacy of foreign exchange market interventions in … volatility equation is negative and significant, which implies that interventions reduce volatility. It is evident that the …

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …