Abstract
In this paper Peter Brandner, Harald Grech and Helmut Stix analyze the effectiveness of intervention in the European Monetary System by using data on the D-mark-intervention activity of six European central banks, covering the period from August 1993 to April 1998.
The estimation results of EGARCH and three regime MS-ARCH models show that interventions had mixed effects on the conditional means and variances. Given their approaches (EGARCH and MS-ARCH), the authors conclude that there does not seem to be a systematic and predictable impact of mark-intervention on the level and volatility of the six exchange rates.