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Determinants and Effectiveness of Foreign Exchange Market Intervention in Georgia

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  • Olga Loiseau-Aslanidi

Abstract

This paper uses unique daily data to study the determinants and the effectiveness of partially sterilized intervention by the National Bank of Georgia (NBG) during the period 1996-2007. Detected structural breaks in the exchange rate and the intervention series are important for NBG intervention motives and effectiveness. The central bank reaction functions indicate that the NBG leans against the wind while smoothing the exchange rate. The intended effect on the level of the exchange rate is observed the day after intervention is conducted. However, the conditional volatility increases with intervention.

Suggested Citation

  • Olga Loiseau-Aslanidi, 2011. "Determinants and Effectiveness of Foreign Exchange Market Intervention in Georgia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 75-95, July.
    • Handle: RePEc:mes:emfitr:v:47:y:2011:i:4:p:75-95
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    Citations

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    Cited by:

    1. Brzeszczyński, Janusz & Kutan, Ali M., 2015. "Public information arrival and investor reaction during a period of institutional change: An episode of early years of a newly independent central bank," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 727-753.
    2. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.
    3. Jaromir Benes & Andrew Berg & Rafael Portillo & David Vavra, 2015. "Modeling Sterilized Interventions and Balance Sheet Effects of Monetary Policy in a New-Keynesian Framework," Open Economies Review, Springer, vol. 26(1), pages 81-108, February.

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