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Central Bank Exchange Rate Interventions and Market Expectations: The Case of México During the Financial Crisis 2008-2009

Author

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  • Guillermo Benavides

    (Banco de México)

Abstract

El objetivo de esta investigación consiste en examinar si las intervenciones en el tipo de cambio por el Banco Central de México durante el per ??odo de la crisis financiera de 2008-2009 influyeron en el tipo de cambio (peso mexicano-dólar estadounidense) a precios de mercado. Las expectativas se generan mediante una Densidad de Riesgo-Neutral (DNR) obtenida de los precios de opciones; el método utilizado para estimar la DNR es la técnica de la función de la volatilidad propuesta por Malz (1997). Los resultados obtenidos muestran que las intervenciones causaron cambios en las expectativas en torno a la fecha de la intervención. As ?? mismo, se detecta un patrón en la disminución, estad ??sticamente significativa, de la media y la varianza en el tipo de cambio impl ??cito inmediatamente después del per ??odo de intervención. Los momentos impl ??citos de orden superior también disminuyen. Por último se encontró un efecto de causalidad que funciona en ambas direcciones; entre las expectativas de tipos de cambio y las intervenciones del Banco Central.

Suggested Citation

  • Guillermo Benavides, 2011. "Central Bank Exchange Rate Interventions and Market Expectations: The Case of México During the Financial Crisis 2008-2009," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 6(1), pages 5-27, Julio-Dic.
    • Handle: RePEc:imx:journl:v:6:y:2011:i:1:p:5-27
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    References listed on IDEAS

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    Cited by:

    1. Alejandro Islas-Camargo & Willy Walter Cortez & Tania Pamela Sanabria Flores, 2018. "Is Mexico's Forward Exchange Rate Market Efficient?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 273-289, Abril-Jun.

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    More about this item

    Keywords

    Exchange Rate Interventions; Market Expectations; Mexican Peso - U.S. Dollar Exchange Rate; Risk-Neutral Densities; Volatility Function Technique;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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