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Foreign Exchange Intervention Strategies And Market Expectations
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Book Synopsis Foreign-Exchange Intervention Strategies and Market Expectations by : Jean-Yves Gnabo
Download or read book Foreign-Exchange Intervention Strategies and Market Expectations written by Jean-Yves Gnabo and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: i) are FX authorities able to influence market expectations with different instruments? ii) how should interventions be designed to have the greatest impact? Using Japanese data over 1992-2004 and an event-study approach, we estimate the effect of different strategies on the USD/JPY exchange rate risk neutral density. Overall, transparent policies (public and oral interventions) appear to be the most effective. Moreover, the effect is greater when policies involve a financial cost (risk) suggesting that simple announcements can only be deemed as an imperfect substitute for actual interventions.
Book Synopsis Foreign Exchange Intervention: A Dataset of Public Data and Proxies by : Gustavo Adler
Download or read book Foreign Exchange Intervention: A Dataset of Public Data and Proxies written by Gustavo Adler and published by International Monetary Fund. This book was released on 2021-02-19 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign exchange intervention (FXI) is a highly debated topic. Yet, comprehensive and comparable data on FXI is hard to find. This paper provides a new dataset of FXI covering a large number of countries over the period 2000-20 at monthly and quarterly frequencies. It includes publicly available data for about 40 countries and carefully constructed proxies for 122 countries. Proxies are focused on both spot and derivative transactions that alter the central bank’s foreign currency position and account for a wide range of central bank operations, including vis-à-vis residents, the first proxy to do so to our knowledge. The paper discusses the merits of the new proxy relative to coarser measures traditionally used like the change in reserves, and potential definitional differences with published data. The paper also presents stylized facts using our newly constructed FXI proxies.
Book Synopsis Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework by : Romain Lafarguette
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.
Book Synopsis The Empirics of Foreign Exchange Intervention in Emerging Markets by : Roberto Pereira Guimarães
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.
Book Synopsis How Does Public Information on Central Bank Intervention Strategies Affect Exchange Rate Volatility? The Case of Peru by : Gabriela Mundaca
Download or read book How Does Public Information on Central Bank Intervention Strategies Affect Exchange Rate Volatility? The Case of Peru written by Gabriela Mundaca and published by . This book was released on 2017 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intervention operations in the foreign exchange market are used by the Banco Central de Reserva del Peru to manage both the level and volatility of their exchange rates. The Banco Central de Reserva del Peru provides information to the market about the specific hours of the day interventions would take place and the total amount of intervention. It consistently buys and sells on the foreign exchange market to avoid large appreciations and depreciations of the Peruvian nuevo sol against the U.S. dollar (Sol/USD), respectively. The estimates in this paper indicate that past information on interventions has moved the sol in the intended direction but only during the time the Banco Central de Reserva del Peru has announced it would be active in the foreign exchange market. The authors also find that the expectation of future interventions by the Banco Central de Reserva del Peru decreases the volatility of the sol when it intervenes to avoid an appreciation of the sol; however, the opposite occurs when the intervention takes place to defend the sol from depreciation. Indeed, the sol has been less volatile during periods when the Banco Central de Reserva del Peru has intervened than otherwise.
Book Synopsis How Does Public Information on Central Bank Intervention Strategies Affect Exchange Rate Volatility? by : B. Gabriela Mundaca
Download or read book How Does Public Information on Central Bank Intervention Strategies Affect Exchange Rate Volatility? written by B. Gabriela Mundaca and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Foreign Exchange Intervention as a Monetary Policy Instrument by : Felix Hüfner
Download or read book Foreign Exchange Intervention as a Monetary Policy Instrument written by Felix Hüfner and published by Springer Science & Business Media. This book was released on 2004 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign exchange intervention is frequently being used by central banks in countries which have a floating exchange rate. Most theoretical monetary policy models, however, do not take this phenomenon into account. This book contributes to closing this gap between theory and practice by interpreting foreign exchange intervention as an additional monetary policy instrument for inflation targeting central banks. In-depth empirical analyses of the foreign exchange operations and interest rate policy of five inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) demonstrate how foreign exchange intervention is used in practice.
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Cost of Foreign Exchange Intervention by : Gustavo Adler
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 2016-04-12 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.
Book Synopsis Foreign Exchange Intervention by : Nuttathum Chutasripanich
Download or read book Foreign Exchange Intervention written by Nuttathum Chutasripanich and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Official Intervention in the Foreign Exchange Market by : Roberto Pereira Guimarães
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."
Book Synopsis Foreign Exchange Intervention by : Gustavo Adler
Download or read book Foreign Exchange Intervention written by Gustavo Adler and published by International Monetary Fund. This book was released on 2011-07-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Foreign Exchange Intervention by : Geert J. Almekinders
Download or read book Foreign Exchange Intervention written by Geert J. Almekinders and published by Edward Elgar Publishing. This book was released on 1995 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Foreign Exchange Intervention in Developing and Transition Economies by : Mr.Jorge Iván Canales Kriljenko
Download or read book Foreign Exchange Intervention in Developing and Transition Economies written by Mr.Jorge Iván Canales Kriljenko and published by International Monetary Fund. This book was released on 2003-05-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on evidence obtained from the IMF's 2001 Survey on Foreign Exchange Market Organization, the author argues that, for several reasons, some central banks in developing and transition economies may be able to conduct foreign exchange intervention more effectively than the central banks of developed countries issuing the major international currencies. First, these central banks do not always fully sterilize their foreign exchange interventions. In addition, they issue regulations and conduct their foreign exchange operations in a way that increases the central bank's information advantage and the size of their foreign exchange intervention relative to foreign exchange market turnover. Some of the central banks also use moral suasion to support their foreign exchange interventions.
Book Synopsis Unveiling the Effects of Foreign Exchange Intervention by : Gustavo Adler
Download or read book Unveiling the Effects of Foreign Exchange Intervention written by Gustavo Adler and published by International Monetary Fund. This book was released on 2015-06-23 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Does Foreign Exchange Intervention Matter? by : Kathryn M. Dominguez
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:
Book Synopsis Foreign Exchange Intervention by : Sylvester C. W. Eijffinger
Download or read book Foreign Exchange Intervention written by Sylvester C. W. Eijffinger and published by Edward Elgar Publishing. This book was released on 1998 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brings together articles first published in various journals from the 1970s through the 1990s, in sections on the objectives of foreign exchange intervention, the effectiveness of foreign exchange intervention and the portfolio-balance and expectations channel, and new approaches to foreign exchange intervention involving technical analysis, private information, and game-theoretic models. Specific topics include exchange rate policy in Japan, the effects of sterilized intervention, market responses to coordinated central bank intervention, and the London foreign exchange market. Annotation copyrighted by Book News, Inc., Portland, OR
