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La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano

Author

Listed:
  • Valeria Bejarano-Salcedo

    () (Banco de la República de Colombia)

  • William Iván Moreno-Jimenez

    () (Banco de la República de Colombia)

  • Juan Manuel Julio-Román

    () (Banco de la República de Colombia)

Abstract

En esta nota hacemos explícitos los problemas más importantes que confrontan los estudios de efectividad y de estimación del efecto de intervenciones esterilizadas, especialmente aquellas que tiene un objetivo implícito sobre el nivel de la tasa de cambio. Estos problemas se solucionan, por lo menos en gran parte, con la utilización de modelos basados en la microestructura del mercado cambiario sobre información de alta frecuencia. Empleando uno de estos estudiamos el efecto de la intervenciones esterilizadas a través de subastas de opciones, en especial las de compra directa, realizadas por el Banco de la República en las últimas décadas. Para esto contamos con información detallada intradía sobre el mercado, las sorpresas contenidas en los anuncios macroeconómicos y las intervenciones. Encontramos que estas intervenciones tienen un efecto pequeño y de corta duración sobre la tasa de cambio. Los resultados sugieren, sin embargo, que la señal fué creíble pero no ambigua en un mercado eficiente. Estos resultados son más marcados para el periodo 2007-2011 que para 2011-2019. **** ABSTRACT: In this paper we explain the most important challenges empirical research on sterilized intervention effect and effectiveness faces, specially when analyzing interventions with implicit rather than explicit exchange rate level targets. These challenges are surpassed, at least for the most part, through the use of foreign exchange market microstructure based models on high frequency sample information. Employing one of such models, we study the effect of sterilised interventions through auctions of call/put options, mainly direct purchase auctions, performed by Banco de la Rep´ublica during the last decades. To reach this objective, we built a detailed intra-day database on the market, macroeconomic surprises and intervention. We found that these interventions have a small and short lasting effect on the COP/USD exchange rate. Our results suggest, however, that the signal was credible and non ambiguous in an efficient market. These results are stronger for the 2007-2011 sub-sample than the 2011-2019 one.

Suggested Citation

  • Valeria Bejarano-Salcedo & William Iván Moreno-Jimenez & Juan Manuel Julio-Román, 2020. "La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano," Borradores de Economia 1142, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:1142
    DOI: https://doi.org/10.32468/be.1142
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    References listed on IDEAS

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    1. Dominguez, Kathryn M & Frankel, Jeffrey A, 1993. "Does Foreign-Exchange Intervention Matter? The Portfolio Effect," American Economic Review, American Economic Association, vol. 83(5), pages 1356-1369, December.
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    Keywords

    Intervención del banco central; Tasa de cambio; Microestructura del mercado cambiario; Central bank intervention; Exchange rate; FX Market micro-structure;

    JEL classification:

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

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