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Author : Anonim
Publisher : Unknown
Page : 361 pages
File Size : 43,5 Mb
Release : 2013
Category : Electronic
ISBN : OCLC:901301954
Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher : Unknown
Page : 361 pages
File Size : 44,5 Mb
Release : 2013
Category : Electronic
ISBN : 9291979627
Author : Roberto Pereira Guimarães,Mr.Cem Karacadag
Publisher : International Monetary Fund
Page : 34 pages
File Size : 47,6 Mb
Release : 2004-07-01
Category : Business & Economics
ISBN : 9781451854640
This paper analyzes the effects of intervention on the level and volatility of the exchange rate in Mexico and Turkey, two emerging countries that have floating exchange rate regimes. The paper finds mixed evidence on the effectiveness of intervention. In Mexico, foreign exchange sales have a small impact on the exchange rate level and raise short-term volatility, while in Turkey, intervention does not appear to affect the exchange rate level but reduces its shortterm volatility. In both cases, the findings are consistent with officially stated policy objectives, which aim to minimize the effect of intervention on the exchange rate, but cast doubt on claims that intervention is a useful tool for smoothing volatility. Although these findings cannot be generalized to other emerging markets, intervention's apparently limited effectiveness highlights the need for central banks to use their scarce foreign reserves selectively and parsimoniously.
Author : Romain Lafarguette,Mr.Romain M Veyrune
Publisher : International Monetary Fund
Page : 33 pages
File Size : 52,8 Mb
Release : 2021-02-12
Category : Business & Economics
ISBN : 9781513569406
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author : Gustavo Adler,Mr.Camilo Ernesto Tovar Mora
Publisher : International Monetary Fund
Page : 30 pages
File Size : 55,6 Mb
Release : 2011-07-01
Category : Business & Economics
ISBN : 9781462301218
This paper examines foreign exchange intervention practices and their effectiveness using a new qualitative and quantitative database for a panel of 15 economies covering 2004 - 10, with special focus on Latin America. Qualitatively, it examines institutional aspects such as declared motives, instruments employed, the use of rules versus discretion, and the degree of transparency. Quantitatively, it assesses the effectiveness of sterilized interventions in influencing the exchange rate using a two-stage IV-panel data approach to overcome endogeneity bias. Results suggest that interventions slow the pace of appreciation, but the effects decrease rapidly with the degree of capital account openness. At the same time, interventions are more effective in the context of already ?overvalued' exchange rates.
Author : Roberto Pereira Guimarães,Mr.Jorge Iván Canales Kriljenko,Mr.Cem Karacadag
Publisher : International Monetary Fund
Page : 45 pages
File Size : 53,6 Mb
Release : 2003-07-01
Category : Business & Economics
ISBN : 9781451857115
This paper offers guidance on the operational aspects of official intervention in the foreign exchange market, particularly in developing countries with flexible exchange rate regimes. A brief survey of the literature and country experience is followed by an analysis of the objectives, timing, amount, degree of transparency, and choice of markets and counterparties in conducting intervention. The analysis highlights the difficulty of detecting exchange rate misalignments and disorderly markets, and argues in favor of parsimony in official intervention. Determining the timing and amount of intervention is a highly subjective excercise, and some degree of discretion is almost necessary, though policy rules may serve as "rules of thumb."
Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher : Unknown
Page : 0 pages
File Size : 48,5 Mb
Release : 2013
Category : Banks and banking, Central
ISBN : 9291319627
Author : Mr.Jorge Iván Canales Kriljenko,Mr.Cem Karacadag,Roberto Pereira Guimarães,Mr.Shogo Ishii
Publisher : International Monetary Fund
Page : 58 pages
File Size : 44,7 Mb
Release : 2006-03-02
Category : Business & Economics
ISBN : 1589064216
Despite increasing exchange rate flexibility, central banks in emerging markets still intervene in their foreign exchange markets for several reasons. In doing so, they face many operational questions, including on the degree of transparency and the choice of markets and counterparties. This paper identifies elements of best practice in official foreign exchange intervention, presents survey evidence on intervention practices in developing countries, and assesses the effectiveness of intervention in Mexico and Turkey.
Author : Gustavo Adler,Noemie Lisack,Rui Mano
Publisher : International Monetary Fund
Page : 42 pages
File Size : 53,5 Mb
Release : 2015-06-23
Category : Business & Economics
ISBN : 9781513534602
We study the effect of foreign exchange intervention on the exchange rate relying on an instrumental-variables panel approach. We find robust evidence that intervention affects the level of the exchange rate in an economically meaningful way. A purchase of foreign currency of 1 percentage point of GDP causes a depreciation of the nominal and real exchange rates in the ranges of [1.7-2.0] percent and [1.4-1.7] percent respectively. The effects are found to be quite persistent. The paper also explores possible asymmetric effects, and whether effectiveness depends on the depth of domestic financial markets.
Author : Gustavo Adler,Mr.Ruy Lama,Juan Pablo Medina Guzman
Publisher : International Monetary Fund
Page : 40 pages
File Size : 48,9 Mb
Release : 2016-03-17
Category : Business & Economics
ISBN : 9781475520415
We study the use of foreign exchange (FX) intervention as an additional policy instrument in an environment with learning, where agents infer the central bank policy rules from its policy actions. Under full information, a central bank focused on stabilizing output and inflation can achieve better outcomes by using FX intervention as an additional policy tool. Under policy uncertainty, where agents perceive that monetary policy may also have exchange rate stabilization goals, the use of FX intervention entails a trade-off, reducing output volatility while increasing inflation volatility. While having an additional policy tool is always beneficial, we find that the optimal magnitude of intervention is higher in monetary policy regimes with lower uncertainty. These results indicate that the benefits of using FX intervention as an additional stabilization tool are greater in regimes where monetary policy is credibly focused on output and inflation stabilization.
Author : Mr.Peter Breuer
Publisher : International Monetary Fund
Page : 41 pages
File Size : 53,6 Mb
Release : 1999-10-01
Category : Business & Economics
ISBN : 9781451856101
This paper analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that selling rather than buying options will result in market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective. Selling a “strangle” allows a central bank to increase the credibility of its commitment to a target zone, and could have a lower expected cost than spot market interventions. However, this strategy also exposes the central bank to an unlimited loss potential.
Author : Blaise Gadanecz,Aaron Mehrotra,M. S. Mohanty
Publisher : Unknown
Page : 30 pages
File Size : 45,7 Mb
Release : 2014
Category : Foreign exchange
ISBN : 9291312134
Author : Mr.Matthew S Malloy
Publisher : International Monetary Fund
Page : 28 pages
File Size : 48,8 Mb
Release : 2013-03-15
Category : Business & Economics
ISBN : 9781475557312
Using panel data for 15 economies from 2001-12, I identify determinants of central bank foreign exchange intervention in emerging markets (“EMs”) with flexible to moderately managed exchange rates. Similar to other studies, I find that central banks tend to “lean against the wind,” buying/selling more foreign exchange in response to greater short-run and medium-run appreciation/depreciation pressures. The panel structure provides a framework to test whether other macroeconomic variables influence the different rates of reserve accumulation between economies. In testing other variables, I find evidence of both precautionary and external competitiveness motives for reserve accumulation.
Author : Melesse Tashu
Publisher : International Monetary Fund
Page : 31 pages
File Size : 46,9 Mb
Release : 2014-12-12
Category : Business & Economics
ISBN : 9781498320399
This paper assesses empirically the motives and effectiveness of forex interventions in Peru. While the central bank of Peru states that its forex interventions aim only at containing excessive exchange rate volatility, the results of this paper show that, in practice, the interventions seem to have aimed at “leaning against the wind” as well. The results also show that forex sales, but not forex purchases, react to volatility, indicating asymmetry in the central bank’s reactions to episodes of appreciation and depreciation pressures. Similarly, the paper documents evidence of asymmetry in the effectiveness of forex interventions.
Author : Geert J. Almekinders
Publisher : Edward Elgar Publishing
Page : 248 pages
File Size : 45,8 Mb
Release : 1995
Category : Business & Economics
ISBN : STANFORD:36105018468616
This book explains why central banks continue to carry out foreign exchange interventions despite their poor track record. It uses confidential daily intervention data from the Bundesbank and the Federal Reserve.
