Un Modelo de Intervención Cambiaria
AbstractThis article presents an intervention methodology to neutralize fluctuations not associated to fundamentals. The mechanism is based on a conditional heteroskedasticity model GARCH(1,1) for the nominal exchange rate, combined with the Value at Risk concept. The simulation provides the authority with a tool to evaluate whether or not current exchange rate fluctuations can be connected to fundamentals, or if an intervention is required using international reserves to reduce exchange rate pressures. Because of the lower implicit volatilities, the intervention system will help develop the domestic hedging market, and also increase investment and international trade.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 90.
Date of creation: Dec 2000
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-10 (All new papers)
- NEP-CBA-2002-02-15 (Central Banking)
- NEP-IFN-2002-02-15 (International Finance)
- NEP-PKE-2002-02-15 (Post Keynesian Economics)
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