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Author : Owen F. Humpage
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book Intervention and the Foreign Exchange Risk Premium written by Owen F. Humpage and published by . This book was released on 1990 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gustavo Adler
Publisher : International Monetary Fund
ISBN 13 : 1484323076
Total Pages : 37 pages
Book Rating : 4.4/5 (843 download)
Download or read book The Cost of Foreign Exchange Intervention written by Gustavo Adler and published by International Monetary Fund. This book was released on 2016-04-08 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.
Author : William P. Osterberg
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (933 download)
Download or read book Intervention and the Risk Premium in Foreign Exchange Rates written by William P. Osterberg and published by . This book was released on 1989 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harry Nicholas Kypraios
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 (199 download)
Download or read book Foreign Exchange Intervention and the Risk Premium written by Harry Nicholas Kypraios and published by . This book was released on 1987 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roberto Pereira Guimarães
Publisher : International Monetary Fund
ISBN 13 : 1451854641
Total Pages : 34 pages
Book Rating : 4.4/5 (518 download)
Download or read book The Empirics of Foreign Exchange Intervention in Emerging Markets written by Roberto Pereira Guimarães and published by International Monetary Fund. This book was released on 2004-07-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Lars E. O. Svensson
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.X/5 (2 download)
Download or read book The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk written by Lars E. O. Svensson and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Jorge Iván Canales Kriljenko
Publisher : International Monetary Fund
ISBN 13 : 9781589064218
Total Pages : 58 pages
Book Rating : 4.0/5 (642 download)
Download or read book Official Foreign Exchange Intervention written by Mr.Jorge Iván Canales Kriljenko and published by International Monetary Fund. This book was released on 2006-03-02 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Romain Lafarguette
Publisher : International Monetary Fund
ISBN 13 : 1513569406
Total Pages : 33 pages
Book Rating : 4.5/5 (135 download)
Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Richard Baillie
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.3/5 ( download)
Download or read book The Risk Premium in Forward Foreign Exchange Markets and G-3 Central Bank Intervention written by Richard Baillie and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geoffrey R. Berlin
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.:/5 (242 download)
Download or read book Sterilized Intervention in the Foreign Exchange Market written by Geoffrey R. Berlin and published by . This book was released on 1984 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lorenzo Giorgianni
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
Download or read book Foreign Exchange Risk Premium written by Lorenzo Giorgianni and published by . This book was released on 1997 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Keith Pilbeam
Publisher : Springer
ISBN 13 : 1349117447
Total Pages : 233 pages
Book Rating : 4.3/5 (491 download)
Download or read book Exchange Rate Management: Theory and Evidence written by Keith Pilbeam and published by Springer. This book was released on 1991-06-18 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: An examination of the economic justification for foreign exchange market intervention, the potential for such intervention to stabilize an economy and the distinction between sterilized and non-sterilized intervention.
Author : Stanley W. Black
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (753 download)
Download or read book The Relationship of the Exchange Risk Premium to Net Foreign Assets and Central Bank Intervention written by Stanley W. Black and published by . This book was released on 1993 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kathryn M. Dominguez
Publisher : Peterson Institute for International Economics
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.F/5 ( download)
Download or read book Does Foreign Exchange Intervention Work? written by Kathryn M. Dominguez and published by Peterson Institute for International Economics. This book was released on 1993 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: How much impact on exchange rates do central banks have when they buy and sell currencies? According to many analysts, such intervention has no independent impact. This book challenges the conventional wisdom, demonstrating that such intervention can be an effective and extremely important tool for policymakers. Using previously unavailable daily intervention data from the US Federal Reserve and German Bundesbank, the authors show that even "sterilized" intervention -intervention that entails no corresponding changes in monetary policy- has a significant effect. A key element is whether the intervention is known to the public: widespread market awareness of the activity adds substantially to its payoff. Authors Dominguez and Frankel draw implications for intervention policy and its role in international economic policy coordination.
Author : David S. Bieri
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (131 download)
Download or read book Central Bank Intervention and Risk Premia in Foreign Exchange Markets written by David S. Bieri and published by . This book was released on 2013 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the Plaza Meeting in September 1985, G-10 central banks have intervened in foreign exchange markets in a manner and scale unprecedented in the post Bretton Woods era. Using official daily data on interventions by the Swiss National Bank, this paper evaluates the effectiveness of these interventions and examines their impact on exchange rate risk premia, as defined by deviations from interest rate parity. My results suggests that intervention (via its effect on the risk premium) may be responsible for the frequently observed failure of foreign exchange market efficiency models and for their poor out-of-sample forecasting performance.
Author : Roberto Pereira Guimarães
Publisher : International Monetary Fund
ISBN 13 : 145185711X
Total Pages : 45 pages
Book Rating : 4.4/5 (518 download)
Download or read book Official Intervention in the Foreign Exchange Market written by Roberto Pereira Guimarães and published by International Monetary Fund. This book was released on 2003-07-01 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Kathryn M. Dominguez
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
Download or read book Does Foreign Exchange Intervention Matter? written by Kathryn M. Dominguez and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
