The effectiveness of forex interventions in four Latin American countries

被引:26
|
作者
Broto, Carmen [1 ]
机构
[1] Banco Espana, Madrid 28014, Spain
关键词
Exchange rate volatility; Foreign exchange interventions; GARCH; EXCHANGE-RATE VOLATILITY; CENTRAL BANKS; GARCH MODELS; MARKET; DOLLAR;
D O I
10.1016/j.ememar.2013.03.003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Many central banks actively intervene in the forex market, although there is no consensus on its impact on the exchange rate level and volatility. We analyze the effects of daily forex interventions in four Latin American economies with inflation targets - namely, Chile, Colombia, Mexico and Peru - by fitting GARCH-type models. These countries represent a broad span of intervention strategies in terms of size and frequency, ranging from pure discretional to rule-based interventions. We find that only first interventions, either isolated or the initial one in a rule-based series, are able to reduce exchange rate volatility, whereas their size plays a minor role. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码:224 / 240
页数:17
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