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Efectividad de la intervención cambiaria en Guatemala

Author

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  • Castillo Maldonado, Carlos Eduardo

    (Subdirector del Departamento de Estudios Económicos, Banco de Guatemala)

Abstract

Purchase and sale oriented exchange rate intervention effectiveness carried on by the Central Bank of Guatemala is analyzed through an ACT-GARCH model. By using daily information for the period 1996-2008, it is found that purchase-ori- ented intervention tends to reduce the exchange rate long run volatility, while sale- oriented intervention tends to increase it. Nevertheless, both types of exchange rate intervention affected the quetzal/dollar level. Therefore, exchange rate intervention was effective when it was addressed to produce exchange rate trend effects, but it lacked effectiveness when the Central Bank of Guatemala limited intervention to moderate exchange rate volatility.// La efectividad de las intervenciones cambiarias de compra y de venta de dólares del Banco de Guatemala se analiza en el contexto de un modelo ACT-GARCH. Con información diaria para el periodo 1996-2008, se concluye que solamente las intervenciones de compra produjeron una disminución de la volatilidad de largo plazo del tipo de cambio quetzal/dólar, pero que ambos tipos de intervención afectaron el quetzal. En relación con los objetivos establecidos por el banco central, la intervención cambiaria fue efectiva cuando se orientó a moderar el tipo de cambio, pero careció de efectividad cuando ésta se limitó a moderar la volatilidad cambiaria sin afectar su tendencia.

Suggested Citation

  • Castillo Maldonado, Carlos Eduardo, 2010. "Efectividad de la intervención cambiaria en Guatemala," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(307), pages 557-583, julio-sep.
  • Handle: RePEc:elt:journl:v:77:y:2010:i:307:p:557-583
    DOI: http://dx.doi.org/10.20430/ete.v77i307.446
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    File URL: http://www.eltrimestreeconomico.com.mx/index.php/te/article/view/446/489
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    References listed on IDEAS

    as
    1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, Oxford University Press, vol. 117(2), pages 379-408.
    2. Carmen M. Reinhart, 2000. "The Mirage of Floating Exchange Rates," Annual Proceedings, The Association for the Study of the Cuban Economy, vol. 10.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Castillo, Carlos, 2014. "Inflation targeting and exchange rate volatility smoothing: A two-target, two-instrument approach," Economic Modelling, Elsevier, vol. 43(C), pages 330-345.

    More about this item

    Keywords

    intervención cambiaria de compra; intervención cambiaria de venta; intervención efectiva; tipo de cambio; volatilidad cambiaria;

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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