Are Interventions Self-Exciting?

CEPR Discussion Paper Series No. 1964

Posted: 30 Jan 1999

See all articles by Andreas M. Fischer

Andreas M. Fischer

Swiss National Bank; Centre for Economic Policy Research (CEPR)

Date Written: September 1998

Abstract

It is often argued that interventions provide news on changes in risk premia or in future monetary policy. If so, the timing of interventions offers important information for central bank watchers. One method to study the reaction function of a central bank is to consider whether the duration intervals of past interventions matter for future interventions. The time deformation of interventions is modelled as an autoregressive process following the class of ACD models first proposed by Engle and Russell (1994). The analysis considers the persistence of interventions by the Federal Reserve, the Bundesbank and the Swiss National Bank.

JEL Classification: E52, E58

Suggested Citation

Fischer, Andreas M., Are Interventions Self-Exciting? (September 1998). CEPR Discussion Paper Series No. 1964, Available at SSRN: https://ssrn.com/abstract=140791

Andreas M. Fischer (Contact Author)

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland
+41 1 631 3294 (Phone)
+41 1 631 3901 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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