The Determinants Of Foreign Exchange Intervention By Central Banks
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The Determinants Of Foreign Exchange Intervention By Central Banks
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Author : Suk-Joong Kim
language : en
Publisher:
Release Date : 1999
The Determinants Of Foreign Exchange Intervention By Central Banks written by Suk-Joong Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Banks and banking, Central categories.
The Determinants Of Foreign Exchange Intervention By Central Banks
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Author : Suk-Joong Kim
language : en
Publisher:
Release Date : 2007
The Determinants Of Foreign Exchange Intervention By Central Banks written by Suk-Joong Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Intervention by the Reserve Bank of Australia on foreign exchange markets from 1983 to 1997 is conjectured to have been determined by exchange rate trend correction, exchange rate volatility smoothing, the U.S. and Australian overnight interest rate differentials, profitability and foreign currency reserve inventory considerations. Using Probit and friction models, we show that these factors were significant influences on intervention behaviour. Consistent with the constraint of intervening only when a clear trend is apparent, we find that above average measures of deviations from trend and of volatility muted the response of the Reserve Bank.
Factors Influencing Emerging Market Central Banks Decision To Intervene In Foreign Exchange Markets
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Author : Mr.Matthew S Malloy
language : en
Publisher: International Monetary Fund
Release Date : 2013-03-15
Factors Influencing Emerging Market Central Banks Decision To Intervene In Foreign Exchange Markets written by Mr.Matthew S Malloy 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 2013-03-15 with Business & Economics categories.
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.
The Cost Of Foreign Exchange Intervention
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Author : Gustavo Adler
language : en
Publisher: International Monetary Fund
Release Date : 2016-04-08
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 2016-04-08 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 Rules For Central Banks A Risk Based Framework
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Author : Romain Lafarguette
language : en
Publisher: International Monetary Fund
Release Date : 2021-02-12
Foreign Exchange Intervention Rules For Central Banks A Risk Based Framework written by Romain Lafarguette 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 2021-02-12 with Business & Economics categories.
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.
The Effectiveness Of Central Bank Intervention
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Author : Hali J. Edison
language : en
Publisher:
Release Date : 1993
The Effectiveness Of Central Bank Intervention written by Hali J. Edison and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.
Foreign Exchange Intervention
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Author : Geert J. Almekinders
language : en
Publisher: Edward Elgar Publishing
Release Date : 1995
Foreign Exchange Intervention written by Geert J. Almekinders and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business & Economics categories.
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.
Exchange Rate Swings And Foreign Currency Intervention
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Author : Andrew Filardo
language : en
Publisher: International Monetary Fund
Release Date : 2022-07-29
Exchange Rate Swings And Foreign Currency Intervention written by Andrew Filardo 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 2022-07-29 with Business & Economics categories.
This paper develops a new approach for exploring the effectiveness of foreign currency intervention, focusing on real exchange cycles. Using band spectrum regression methods, it examines the role of macroeconomic fundamentals in determining the equilibrium real exchange rate at short-, medium-, and low frequencies. Next, it assesses the effectiveness of FX intervention depending on the degree of cycle-specific misalignments for 26 advanced- and emerging market economies, covering the period 1990–2018, and using different techniques to mitigate endogeneity concerns. Evidence supports the hypothesis that central banks can lean effectively against short-run cyclical misalignments of the real exchange rate. The effects are present in quarterly data—i.e., at policy-relevant horizons. The effectiveness of intervention rises with the size of the misalignment, and with the duration of one-sided interventions. FX sales appear to be somewhat more effective than FX purchases, and intervention is less effective in more liquid FX markets.
Unveiling The Effects Of Foreign Exchange Intervention
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Author : Gustavo Adler
language : en
Publisher: International Monetary Fund
Release Date : 2015-06-23
Unveiling The Effects 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 2015-06-23 with Business & Economics categories.
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.
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.