Intervention And The Foreign Exchange Risk Premium

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Intervention And The Foreign Exchange Risk Premium

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Author : Owen F. Humpage
language : en
Publisher:
Release Date : 1990

Intervention And The Foreign Exchange Risk Premium written by Owen F. Humpage and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Banks and banking, Central categories.

Intervention And The Risk Premium In Foreign Exchange Rates

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Author : William P. Osterberg
language : en
Publisher:
Release Date : 1989

Intervention And The Risk Premium In Foreign Exchange Rates written by William P. Osterberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Banks and banking, Central categories.

The Cost Of Foreign Exchange Intervention

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Author : Gustavo Adler
language : en
Publisher: International Monetary Fund
Release Date : 2016-04-12

The Cost Of Foreign Exchange Intervention written by Gustavo Adler and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-12 with Business & Economics categories.

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.

Foreign Exchange Intervention And The Risk Premium

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Author : Harry Nicholas Kypraios
language : en
Publisher:
Release Date : 1987

Foreign Exchange Intervention And The Risk Premium written by Harry Nicholas Kypraios and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Foreign exchange categories.

Sterilized Intervention In The Foreign Exchange Market

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Author : Geoffrey R. Berlin
language : en
Publisher:
Release Date : 1984

Sterilized Intervention In The Foreign Exchange Market written by Geoffrey R. Berlin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.

The Empirics Of Foreign Exchange Intervention In Emerging Markets

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Author : Roberto Pereira Guimarães
language : en
Publisher: International Monetary Fund
Release Date : 2004-07-01

The Empirics Of Foreign Exchange Intervention In Emerging Markets written by Roberto Pereira Guimarães and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-01 with Business & Economics categories.

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.

Central Bank Intervention And Risk Premia In Foreign Exchange Markets

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Author : David S. Bieri
language : en
Publisher:
Release Date : 2013

Central Bank Intervention And Risk Premia In Foreign Exchange Markets written by David S. Bieri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

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.

The Risk Premium In Forward Foreign Exchange Markets And G 3 Central Bank Intervention

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Author : Richard Baillie
language : en
Publisher:
Release Date : 1991

The Risk Premium In Forward Foreign Exchange Markets And G 3 Central Bank Intervention written by Richard Baillie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Banks and banking, Central categories.

The Foreign Exchange Risk Premium In A Target Zone With Devaluation Risk

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Author : Lars E. O. Svensson
language : en
Publisher:
Release Date : 1991

The Foreign Exchange Risk Premium In A Target Zone With Devaluation Risk written by Lars E. O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Foreign exchange categories.

The Relationship Of The Exchange Risk Premium To Net Foreign Assets And Central Bank Intervention

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Author : Stanley W. Black
language : en
Publisher:
Release Date : 2013

The Relationship Of The Exchange Risk Premium To Net Foreign Assets And Central Bank Intervention written by Stanley W. Black and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

This paper takes another look at the portfolio theory of exchange rate behavior, using a survey-based definition of the risk premium and measuring the portfolio variable by the net stock of foreign assets. The model relates the risk premium to net foreign assets, together with related equations for expectations, the current account, and central bank intervention. Estimation from weekly data relating to the US dollar and the German mark over the period 1983-1988 shows significant effects of the current account and central bank intervention on the exchange rate. Alternative specifications do not fare as well.