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Official central bank interventions and exchange rate volatility : evidence from a regime-switching analysis

Beine, Michel; Laurent, Sébastien; Lecourt, Christelle - In: European economic review : EER 47 (2003) 5, pp. 891-911

Persistent link: https://www.econbiz.de/10001802776

The impact of central bank FX interventions on currency components

Beine, Michel; Bos, Charles S.; Laurent, Sébastien - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 154-183

Persistent link: https://www.econbiz.de/10003518305

The impact of Central Bank FX interventions on currency components

Beine, Michel; Bos, Charles S.; Laurent, Sébastien - 2005

Persistent link: https://www.econbiz.de/10003204049

The Impact of Central Bank FX Interventions on Currency Components

Beine, Michel - 2005

This paper is the first attempt to assess 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 (EUR/USD and YEN/USD) over the period 1989-2003. We identify the currency components of the mean...

Persistent link: https://www.econbiz.de/10012735941

Volatility expectations and asymmetric effects of direct interventions in the FX market

Beine, Michel - In: Journal of the Japanese and international economies : … 17 (2003) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10001757985

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001596369

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001590396

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664

Persistent link: https://www.econbiz.de/10001843499

Does transparency in central bank intervention policy bring noise to the FX market? : the case of the Bank of Japan

Gnabo, Jean-Yves; Laurent, Sébastien; Lecourt, Christelle - In: Journal of international financial markets, … 19 (2009) 1, pp. 94-111

Persistent link: https://www.econbiz.de/10003797276

Intervention policy of the BoJ: a unified approach

Beine, Michel; Bernal, Oscar; Gnabo, Jean-Yves; … - 2007

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...

Persistent link: https://www.econbiz.de/10010264054