Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?

Since the abandonment of the Bretton Woods system of fixed exchange rates in the early 1970s, exchange rates have displayed a surprisingly high degree of time-conditional volatility. This volatility can be explained statistically using autoregressive conditional heteroscedasticity models, but there remains the question of the economic source of this volatility. Central bank intervention policy may provide part of the explanation. Previous work has shown that central banks have relied heavily on intervention policy to influence the level of exchange rates, and that these operations have, at times, been effective. This paper investigates whether central bank interventions have also influenced the variance of exchange rates. The results from daily and weekly GARCH models of the $/DM and$/Yen rates over the period 1985 to 1991 indicate that publicly known Fed intervention generally decreased volatility over the full period. Further, results indicate that intervention need not be publicly known for it to influence the conditional variance of exchange rate changes. Secret intervention operations by both the Fed and the Bundesbank generally increased exchange rates volatility over the period.

Corrections to the SU(3)×SU(3){\bf SU(3)\times SU(3)} Gell-Mann-Oakes-Renner relation and chiral couplings L8rL^r_8 and H2rH^r_2

Next to leading order corrections to the $SU(3) \times SU(3)$ Gell-Mann-Oakes-Renner relation (GMOR) are obtained using weighted QCD Finite Energy Sum Rules (FESR) involving the pseudoscalar current correlator. Two types of integration kernels in the FESR are used to suppress the contribution of the kaon radial excitations to the hadronic spectral function, one with local and the other with global constraints. The result for the pseudoscalar current correlator at zero momentum is $\psi_5(0) = (2.8 \pm 0.3) \times 10^{-3} GeV^{4}$, leading to the chiral corrections to GMOR: $\delta_K = (55 \pm 5)$. The resulting uncertainties are mostly due to variations in the upper limit of integration in the FESR, within the stability regions, and to a much lesser extent due to the uncertainties in the strong coupling and the strange quark mass. Higher order quark mass corrections, vacuum condensates, and the hadronic resonance sector play a negligible role in this determination. These results confirm an independent determination from chiral perturbation theory giving also very large corrections, i.e. roughly an order of magnitude larger than the corresponding corrections in chiral $SU(2) \times SU(2)$. Combining these results with our previous determination of the corrections to GMOR in chiral $SU(2) \times SU(2)$, $\delta_\pi$, we are able to determine two low energy constants of chiral perturbation theory, i.e. $L^r_8 = (1.0 \pm 0.3) \times 10^{-3}$, and $H^r_2 = - (4.7 \pm 0.6) \times 10^{-3}$, both at the scale of the $\rho$-meson mass.Comment: Revised version with minor correction

When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?

This paper examines dollar interventions by the G3 since 1989, and the reasons that trader reactions to these interventions might differ over time and across central banks. Market microstructure theory provides a framework for understanding the process by which sterilized central bank interventions are observed and interpreted by traders, and how this process in turn, might influence exchange rates. Using intra-daily and daily exchange-rate and intervention data, the paper analyzes the influence of interventions on exchange-rate volatility, finding evidence of both within day and daily impact effects, but little evidence that interventions influence longer term volatility.central bank intervention, exchange rate volatility, market-microstructure

Vector Meson Dominance and gρππg_{\rho\pi\pi} at Finite Temperature from QCD Sum Rules

A Finite Energy QCD sum rule at non-zero temperature is used to determine the $q^2$- and the T-dependence of the $\rho \pi \pi$ vertex function in the space-like region. A comparison with an independent QCD determination of the electromagnetic pion form factor $F_{\pi}$ at $T \neq 0$ indicates that Vector Meson Dominance holds to a very good approximation at finite temperature. At the same time, analytical evidence for deconfinement is obtained from the result that $g_{\rho \pi \pi}(q^{2},T)$ vanishes at the critical temperature $T_c$, independently of $q^{2}$. Also, by extrapolating the $\rho \pi \pi$ form factor to $q^2 = 0$, it is found that the pion radius increases with increasing $T$, and it diverges at $T=T_c$.Comment: 7 pages, Latex, 3 figures to be delivered from the authors by request, to appear in Phys. Lett.

QCD determination of the axial-vector coupling of the nucleon at finite temperature

A thermal QCD Finite Energy Sum Rule (FESR) is used to obtain the temperature dependence of the axial-vector coupling of the nucleon, $g_{A}(T)$. We find that $g_{A}(T)$ is essentially independent of $T$, in the very wide range $0 \leq T \leq 0.9 T_{c}$, where $T_{c}$ is the critical temperature. While $g_{A}$ at T=0 is $q^{2}$-independent, it develops a $q^{2}$ dependence at finite temperature. We then obtain the mean square radius associated with $g_{A}$ and find that it diverges at $T=T_{c}$, thus signalling quark deconfinement. As a byproduct, we study the temperature dependence of the Goldberger-Treiman relation.Comment: 8 pages and 3 figure

Multipolar expansion of the electrostatic interaction between charged colloids at interfaces

The general form of the electrostatic potential around an arbitrarily charged colloid at an interface between a dielectric and a screening phase (such as air and water, respectively) is analyzed in terms of a multipole expansion. The leading term is isotropic in the interfacial plane and varies with $d^{-3}$ where $d$ is the in--plane distance from the colloid. The electrostatic interaction potential between two arbitrarily charged colloids is likewise isotropic and $\propto d^{-3}$, corresponding to the dipole--dipole interaction first found for point charges at water interfaces. Anisotropic interaction terms arise only for higher powers $d^{-n}$ with $n \ge 4$.Comment: 6 pages, mathematical details adde