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.
List of Contents
List of Tables
List of Figures
List of Abbreviations
Introduction
1. Literature Review
2. Data
2.1 Data Description
2.2 Volatility Clustering
2.3 Multiple Breakpoint - Bai - Perron test
2.4 Test for stationarity - Unit Root
2.5 Correlogram
2.6 Descriptive Statistics
3. Methodology
3.1 ARCH
3.2 GARCH(1,1)
3.3 GJR GARCH(1,1)
3.4 Exponential GARCH(1,1)
3.5 Integrated GARCH(1,1)
3.6 Volatility Forecasting
4. Empirical Results
4.1 Results of the ARCH Effects testing
4.2 Results of the GARCH(1,1) model
4.3 Results of the GJR GARCH(1,1) model
4.4 Results of the Exponential GARCH(1,1) model
4.5 Results of the Integrated GARCH(1,1) model
4.6 Results of Volatility Forecasting
Conclusion
References
Appendix
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