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Author : Markus Hertrich
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Foreign Exchange Intervention and Their Impact on Expectations written by Markus Hertrich and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markus Hertrich
Publisher :
ISBN 13 : 9783957298881
Total Pages : pages
Book Rating : 4.2/5 (988 download)
Download or read book Foreign Exchange Interventions and Their Impact on Expectations written by Markus Hertrich and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using confidential daily data, we analyse how the intervention episode of the Bank of Israel (BOI) from 2013 to 2019 has affected the foreign value of the Israeli new shekel (ILS) and the expectations about its future value. We find that interventions amounting to US dollar (USD) 1 billion are on average associated with a depreciation of the ILS by 0.82%-0.85%, which is at the upper bound of the estimated impact in other studies. The (indirect) effect on the forward rate is smaller - the BOI's USD purchases have widened the negative deviation from covered interest parity. The higher moments of the risk-neutral probability distribution of future exchange rates proxied by the scaled price quotes of USD/ILS options, on the contrary, are unaffected. The USD purchases simply shift the whole distribution towards higher USD/ILS values. Crash risk, for instance, is unaffected. We also find that the USD/ILS options market anticipates intervention episodes and prices them in before they occur.
Author : Ken Miyajima
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)
Download or read book Impact of Foreign Exchange Interventions on Exchange Rate Expectations written by Ken Miyajima and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using monthly data for four selected emerging economies, we find that sterilised central bank foreign exchange intervention has little systematic influence on near-term nominal exchange rate expectations in the direction intended by the central banks. In other words, central bank dollar purchases to stem exchange rate appreciation or related exchange rate volatility are not associated with an adjustment of near-term exchange rate forecasts in the direction of depreciation, and vice versa. This suggests that intervention may not change near-term exchange rate expectations. Moreover, intervention may have unintended effects in the sense that it can lead to undesired volatility in the exchange rate, which is consistent with previous studies.Full publication: "http://ssrn.com/abstract=2420030" Market Volatility and Foreign Exchange Intervention in EMEs: What Has Changed?
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 : Silke Fabian
Publisher : Springer Science & Business Media
ISBN 13 : 3642500293
Total Pages : 175 pages
Book Rating : 4.6/5 (425 download)
Download or read book Exchange Rate Management in Interdependent Economies written by Silke Fabian and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the breakdown of the Bretton Woods System and the begin of floating between the major currencies, central banks have been formally freed from their obligations to defend the fixed parities of bilateral exchange rates. Nev ertheless, since then there have been countless occasions on which monetary authorities have officially intervened in the foreign exchange market. More over, numerous studies indicate that exchange rates have been much more variable than originally anticipated - in real and in nominal, as well as in short run and longer run measures (see for example Hesse and Braasch [1989] and Marston [1988]). Through the experience of high real sector costs, the topic of optimal exchange rate management soon reentered policy discussions. The term exchange rate management encompasses both the choice of ex change rate regime as well as active intervention policies within the given 1 system. Much of the recent policy discussion has focussed on the first issue, in particular proposals of how to reform the present international monetary order. And new systems such as the European Monetary System (EMS) have emerged for subgroups of countries. However, the question of finding the optimal system has not yet been resolved.
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 : 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:
Author : Geert J. Almekinders
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.F/5 ( download)
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.
Author : Gustavo Adler
Publisher : International Monetary Fund
ISBN 13 : 1513534602
Total Pages : 42 pages
Book Rating : 4.5/5 (135 download)
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.
Author : Sylvester C. W. Eijffinger
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 616 pages
Book Rating : 4.:/5 (318 download)
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
Author : Mr.Marcos d Chamon
Publisher : International Monetary Fund
ISBN 13 : 1484375688
Total Pages : 320 pages
Book Rating : 4.4/5 (843 download)
Download or read book Foreign Exchange Intervention in Inflation Targeters in Latin America written by Mr.Marcos d Chamon and published by International Monetary Fund. This book was released on 2019-02-28 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign exchange intervention is widely used as a policy tool, particularly in emerging markets, but many facets of this tool remain limited, especially in the context of flexible exchange rate regimes. The Latin American experience can be informative because some of its largest countries adopted floating exchange rate regimes and inflation targeting while continuing to intervene in foreign exchange markets. This edited volume reviews detailed accounts from several Latin American countries’ central banks, and it provides insight into how and with what aim many interventions were decided and implemented. This book documents the effectiveness of intervention and pays special attention to the role of foreign exchange intervention policy within inflation-targeting monetary frameworks. The main lesson from Latin America’s foreign exchange interventions, in the context of inflation targeting, is that the region has had a considerable degree of success. Transparency and a clear communication policy have been key. For economies that are not highly dollarized, rules-based intervention helped contain financial instability and build international reserves while preserving inflation targets. The Latin American experience can help other countries in the design and implementation of their policies.
Author : Stefan Reitz
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book Central Bank Intervention and Exchange Rate Expectations written by Stefan Reitz and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or fundamentalist forecasts, which forces portfolio managers to adjust their foreign currency positions. The empirical examination of the hypothesis is done by applying a markov regime-switching approach to daily US-dollar/DEM forward rates and intervention data of the Deutsche Bundesbank and the Federal Reserve from 1979 to 1992. It is shown that the performance of simple chartist trading rules was strong whenever these central banks intervened on the foreign exchange market. A similar coincidence cannot be found within the more sophisticated fundamentalist approach.Die vorliegende Arbeit schlägt eine Verallgemeinerung des Noise-Trader-Transmissionsmechanismus vor. Damit sollen die Auswirkungen von Zentralbankinterventionen auf die Wechselkurse untersucht werden. Im Rahmen eines Wechselkursmodells mit heterogenen Erwartungen dürften Interventionen Prognosen stützen, die entweder auf der Chartanalyse oder der Analyse der Fundamentaldaten beruhen. Dies zwingt Portfoliomanager, ihre Fremdwährungspositionen anzupassen. Die empirische Untersuchung der Hypothese erfolgt durch Anwendung eines Markov-Switching-Ansatzes auf die täglichen USDollar/ DEM-Terminkurse und Interventionsdaten der Deutschen Bundesbank und der Federal Reserve von 1979 bis 1992. Es zeigt sich, dass sich einfache auf der Chartanalyse beruhende Regeln dann bewährt haben, wenn diese Zentralbanken am Devisenmarkt intervenierten. Ein ähnlicher Zusammenhang kann bei einem Ansatz, der sich auf Fundamentalüberlegungen stützt, nicht nachgewiesen werden.
Author : Hali J. Edison
Publisher :
ISBN 13 : 9780881653076
Total Pages : 76 pages
Book Rating : 4.6/5 (53 download)
Download or read book The Effectiveness of Central-bank Intervention written by Hali J. Edison and published by . This book was released on 1993 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kathryn M.E. Domínguez
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book Does foreign exchange intervention matter? disentanglig the portfolio and expectations effects for the mark written by Kathryn M.E. Domínguez and published by . This book was released on 1990 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Damiano Sandri
Publisher : International Monetary Fund
ISBN 13 : 1513547666
Total Pages : 24 pages
Book Rating : 4.5/5 (135 download)
Download or read book FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability written by Mr.Damiano Sandri and published by International Monetary Fund. This book was released on 2020-06-12 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the profitability of FX swaps used by the central bank of Brazil to shed light on the rationale for FX intervention. We find that swaps are profitable in expectation, suggesting that FX intervention is used to stabilize the exchange rate in the face of temporary excessive movements rather than to manipulate it away from fundamental values. In line with this interpretation, we find that the scale of FX intervention responds to the degree of exchange rate misalignment relative to UIP conditions. We also document that intervention is more aggressive when there is less uncertainty about the medium-term level of the exchange rate and when the exchange rate is overvalued rather than undervalued.
Author : Kathryn M. Dominguez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (724 download)
Download or read book Does Foreign Exchange Intervention Matter? Disentangling the Portfolio and Expectations Effects for the Mark written by Kathryn M. Dominguez and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: two endogenous variables are the current spot rate and investors'.
Author : Mr.David J Hofman
Publisher : International Monetary Fund
ISBN 13 : 1513526022
Total Pages : 22 pages
Book Rating : 4.5/5 (135 download)
Download or read book Intervention Under Inflation Targeting--When Could It Make Sense? written by Mr.David J Hofman and published by International Monetary Fund. This book was released on 2020-01-17 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the motives inflation-targeting central banks in emerging markets may have for intervening in foreign exchange markets and evaluate the case for such interventions based on the existing literature. Our findings suggest that the rationale for interventions depends on initial conditions and country-specific circumstances. The case is strongest in the presence of large currency mismatches or underdeveloped markets. While interventions can have benefits in the short-term, sustained over time they could entrench unfavorable initial conditions, though more work is needed to establish this empirically. A first effort to measure the cost of interventions to the credibility of policy frameworks suggests that the negative impact may be smaller than often assumed—at least for the set of more sophisticated inflation-targeting emerging-market central banks considered here.
