Since 2014
Using GARCH to Measure the Effect of the Central Banks Intervention in the Foreign Exchange Market
Journal of Administrative and Economics Science
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| Title |
Using GARCH to Measure the Effect of the Central Banks Intervention in the Foreign Exchange Market
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| Creator |
Alawin, Mohammad A.
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| Description |
This paper examines the effect of the official intervention by the Reserve Bank of Australia and the Central Bank of Turkey on theAustralian and on the Turkish exchange rates; respectively. The data series used in this paper covers the daily Australian intervention overthe period January 2, 1998 to December 22, 2006 and the daily Turkish intervention over the period March 1, 2002 to April 30, 2007.This paper uses a GARCH (1, 1) model to estimate the effect of intervention on the mean and volatility of the Australian dollar andTurkish lira. The empirical results found that official intervention is associated with a significant increase in exchange rate uncertainty. Thisfinding supports the view of those who argue that exchange rate intervention serves to disrupt exchange rate markets.Key Words: GARCH, central banks, official intervention, foreign exchange, Australia, Turkey.
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| Publisher |
Qassim University Academic Publishing and translation
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| Contributor |
—
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| Date |
2008-04-03
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://publications.qu.edu.sa/ojs/index.php/economic/article/view/122
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| Source |
Journal Of Administrative And Economics Science; Vol 1, No 2
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| Language |
eng
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| Relation |
http://publications.qu.edu.sa/ojs/index.php/economic/article/view/122/119
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