Intervention and Foreign Exchange Volatility. New evidence from Developed and Emerging Countries di Marvin Arras edito da GRIN Verlag
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Intervention and Foreign Exchange Volatility. New evidence from Developed and Emerging Countries

Editore:

GRIN Verlag

EAN:

9783668628618

ISBN:

3668628610

Pagine:
48
Formato:
Paperback
Lingua:
Tedesco
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Descrizione Intervention and Foreign Exchange Volatility. New evidence from Developed and Emerging Countries

Master's Thesis from the year 2017 in the subject Economics - Finance, grade: 2:1, Queen Mary University of London, language: English, abstract: This research explores the impact of foreign exchange rate interventions on the behaviour of exchange rate returns and their volatility. In 2017, monetary interventions are actual as they have never been before. However, they have been criticised for not being effective and existing empirical evidence is mixed. The present research applies models from the Garch framework, while using monthly data from 2001 to 2017 on the Usdeur, Gbpreur, Jpyeur and Inreur rate. The results indicate that monetary interventions have a higher impact on developed country currencies than on emerging markets currencies. In addition, evidence is found that the volatility increased after the financial crisis.

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