المستودع الأكاديمي جامعة المدينة

The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis

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dc.creator Pierdzioch, Christian
dc.date 2000
dc.date.accessioned 2013-10-16T06:57:22Z
dc.date.available 2013-10-16T06:57:22Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/17908
dc.identifier ppn:312641583
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/17908
dc.description The effectiveness of the foreign exchange market interventions conducted by the Deutsche Bundesbank during the Louvre period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign currency is constructed. The impact of interventions on FX option premia in a regime characterized by infrequent interventions and implicit intervention thresholds and in a pure managed float system is analyzed. A multifactor success criterion is developed to assess the effectiveness of the forex interventions of the Bundesbank empirically within the context of a qualitative dependent variable model.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Kieler Arbeitspapiere 971
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G13
dc.subject F31
dc.subject ddc:330
dc.subject Central Bank Interventions
dc.subject Foreign Currency Options
dc.subject Implied Volatility
dc.subject Ordered Probit Model
dc.subject Wechselkurspolitik
dc.subject Wirtschaftspolitische Wirkungsanalyse
dc.subject Wechselkurs
dc.subject Volatilität
dc.subject Devisenoptionsgeschäft
dc.subject Optionspreistheorie
dc.subject Probit-Modell
dc.subject Schätzung
dc.subject Theorie
dc.subject Deutschland
dc.subject Vereinigte Staaten
dc.title The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis
dc.type doc-type:workingPaper
dc.coverage 1987-1990


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