Exchange Rate Volatility and Intervention PDF Download
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Author: Tamim A. Bayoumi
Publisher:
ISBN:
Category : Foreign exchange administration
Languages : en
Pages : 40
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Book Description
Author: Tamim A. Bayoumi
Publisher:
ISBN:
Category : Foreign exchange administration
Languages : en
Pages : 40
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Book Description
Author: Roberto Pereira Guimarães
Publisher: International Monetary Fund
ISBN: 1451854641
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
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: Linkon Mondal
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659326172
Category :
Languages : en
Pages : 52
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Book Description
Liberalization of capital account and financial sector reforms in recent decades has significantly increased the volume of short-term and speculative portfolio capital flows across the border, which led to more volatility in the behaviour of exchange rates. Under the circumstances, the Reserve Bank of India (RBI) obligated to intervene in the foreign exchange market. Therefore, this book aims to investigate empirically, the effectiveness of the RBI's intervention in the foreign exchange market. Findings show that both buying and selling interventions reduce exchange rate volatility. However, the estimates of BEKK model show that both buying and selling interventions trigger exchange rate volatility. If the intention of intervention is to minimize the exchange rate volatility, the size and direction of intervention must be optimally decided and the intervention must be undertaken in appropriate times. Moreover, news have increased exchange rate volatility and therefore, the RBI needs to take news into account for decision making regarding exchange rate management as they tend to affect capital flows with its attendant consequences on exchange rate.
Author: Suk-Joong Kim
Publisher:
ISBN:
Category : Banks and banking, Central
Languages : en
Pages : 34
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Book Description
Author: 張惠喬
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Felix Hüfner
Publisher: Springer Science & Business Media
ISBN: 3790826723
Category : Business & Economics
Languages : en
Pages : 180
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Book Description
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 close 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: B. Gabriela Mundaca
Publisher:
ISBN:
Category :
Languages : en
Pages : 66
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Book Description
Author: Michael L. Bagshaw
Publisher:
ISBN:
Category : Distribution (Probability theory)
Languages : en
Pages : 44
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Book Description
Author: Kathryn M. Dominguez
Publisher:
ISBN:
Category : Banks and banking, Central
Languages : en
Pages : 64
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Book Description
Since the abandonment of the Bretton Woods system of fixed exchange rates in the early 1970s, exchange rates have displayed a surprisingly high degree of time-conditional volatility. This volatility can be explained statistically using autoregressive conditional heteroscedasticity models, but there remains the question of the economic source of this volatility. Central bank intervention policy may provide part of the explanation. Previous work has shown that central banks have relied heavily on intervention policy to influence the level of exchange rates, and that these operations have, at times, been effective. This paper investigates whether central bank interventions have also influenced the variance of exchange rates. The results from daily and weekly GARCH models of the $/DM and $/Yen rates over the period 1985 to 1991 indicate that publicly known Fed intervention generally decreased volatility over the full period. Further, results indicate that intervention need not be publicly known for it to influence the conditional variance of exchange rate changes. Secret intervention operations by both the Fed and the Bundesbank generally increased exchange rates volatility over the period.
Author: B. Gabriela Mundaca
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
