Foreign exchange intervention and exchange rate volatility in Peru
Flexible exchange rate experience in Peru has been accompanied by frequent official interventions in the form of foreign exchange purchases or sales. Monetary authority pursues reducing excess volatility in the exchange rate through its direct intervention. However, in recent years, this intervention has concentrated on US dollar purchases, apparently signalling a bias towards defending a given exchange rate level (not necessarily fixed). For the period 1994 to 2007, this document assesses consistency of the empirical evidence with the goal of reducing exchange rate volatility. Thus, it uses univariate and multivariate time series models subject to stochastic shifts to study currency pressures. Results suggest consistency with the reduced-volatility goal. Nonetheless, in line with other studies, factors such as the foreign exchange gap with respect to its trend also induce foreign exchange intervention.
Volume (Year): 17 (2010)
Issue (Month): 15 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2007.
"Markov switching GARCH models of currency turmoil in southeast Asia,"
International Finance Discussion Papers
889, Board of Governors of the Federal Reserve System (U.S.).
- Brunetti, Celso & Scotti, Chiara & Mariano, Roberto S. & Tan, Augustine H.H., 2008. "Markov switching GARCH models of currency turmoil in Southeast Asia," Emerging Markets Review, Elsevier, vol. 9(2), pages 104-128, June.
- Rasmus Fatum & Michael M. Hutchison, 2003.
"Is sterilised foreign exchange intervention effective after all? an event study approach,"
Royal Economic Society, vol. 113(487), pages 390-411, 04.
- Rasmus Fatum & Michael M. Hutchison, . "Is Sterilized Foreign Exchange Intervention Effective After All? An Event Study Approach," EPRU Working Paper Series 99-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Luis Carranza & Juan M. Cayo & JosÃ© E. GaldÃ³n-SÃ¡nchez, 2003.
"Exchange Rate Volatility and Economic Performance in Peru: A Firm Level Analysis,"
Faculty Working Papers
12/03, School of Economics and Business Administration, University of Navarra.
- Carranza, Luis J. & Cayo, Juan M. & Galdon-Sanchez, Jose E., 2003. "Exchange rate volatility and economic performance in Peru: a firm level analysis," Emerging Markets Review, Elsevier, vol. 4(4), pages 472-496, December.
- Taylor, Mark P, 2003.
"Is Official Exchange Rate Intervention Effective?,"
CEPR Discussion Papers
3758, C.E.P.R. Discussion Papers.
- Sollis, Robert, 2008. "U.S. dollar real exchange rates: Nonlinearity revisited," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 516-528, June.
- Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(4), pages 493-530.
- Guillermo A. Calvo & Carmen M. Reinhart, 2000.
"Fear of Floating,"
NBER Working Papers
7993, National Bureau of Economic Research, Inc.
- Eric Hillebrand & Gunther Schnabl, 2004.
"The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection,"
Money Macro and Finance (MMF) Research Group Conference 2004
7, Money Macro and Finance Research Group.
- Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance 0410008, EconWPA.
- Eric Hillebrand & Gunther Schnabl, . "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers 2003-09, Department of Economics, Louisiana State University.
- Hoshikawa, Takeshi, 2008. "The effect of intervention frequency on the foreign exchange market: The Japanese experience," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 547-559, June.
- Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2003. "Markov Switching Garch Models of Currency Crises in Southeast Asia," PIER Working Paper Archive 03-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- BEINE, Michel & LAURENT, Sébastien & LECOURT, Christelle, .
"Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis,"
CORE Discussion Papers RP
1705, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
- Michel Beine & Sébastien Laurent & Christelle Lecourt, 2003. "Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis," ULB Institutional Repository 2013/10437, ULB -- Universite Libre de Bruxelles.
- Herman Kamil, 2008. "Is Central Bank Intervention Effective Under Inflation Targeting Regimes? The Case of Colombia," IMF Working Papers 08/88, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:17:y:2010:i:15:p:1485-1491. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.