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Volume 56, Issue 9 -10


Testing the Effectiveness of the Czech National Bank?s Foreign-Exchange Interventions (in English)

Geršl, Adam

Year: 2006   Volume: 56   Issue: 9 -10   Pages: 398-415

Abstract: This article reviews several approaches to testing the effectiveness of foreign-exchange interventions and applies some of these to data on interventions made by the Czech National Bank in 2001 and 2002. The reaction function of the CNB and the impact of interventions on exchange rates and on conditional and implied volatility are estimated, and the successfulness of interventions is discussed within the event-study approach. The results indicate that the interventions by the central bank had only a minor, short-term effect on exchange rates and, to a certain extent, contributed to increased conditional and implied volatility.

JEL classification: E44, E58, F31, G15

Keywords: effectiveness of intervention; event study; exchange rate; foreign-exchange intervention


RePEc: http://ideas.repec.org/a/fau/fauart/v56y2006i9-10p398-415.html

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