Central bank intervention and exchange rate volatility, its continuous and jump components
研究了央行干预对两大主要汇率市场日度和日内波动性的影响，利用双幂变差将波动分解为连续和跳跃成分，发现协调干预往往引发少数但大的跳跃，且与波动持续部分正相关。
Abstract We analyse the relationship between interventions and volatility at daily and intra‐daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bi‐power variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps. Copyright © 2007 John Wiley & Sons, Ltd.