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Un Modelo de Intervención Cambiaria

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  • Christian A. Johnson

Abstract

This article presents an intervention methodology to neutralize fluctuations not associated to fundamentals. The mechanism is based on a conditional heteroskedasticity model GARCH(1,1) for the nominal exchange rate, combined with the Value at Risk concept. The simulation provides the authority with a tool to evaluate whether or not current exchange rate fluctuations can be connected to fundamentals, or if an intervention is required using international reserves to reduce exchange rate pressures. Because of the lower implicit volatilities, the intervention system will help develop the domestic hedging market, and also increase investment and international trade.

Suggested Citation

  • Christian A. Johnson, 2000. "Un Modelo de Intervención Cambiaria," Working Papers Central Bank of Chile 90, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:90
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_90.pdf
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    References listed on IDEAS

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    1. Humpage, Owen F, 1999. "U.S. Intervention: Assessing the Probability of Success," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(4), pages 731-747, November.
    2. Anna J. Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention," NBER Working Papers 7751, National Bureau of Economic Research, Inc.
    3. Vitale, Paolo, 1999. "Sterilised central bank intervention in the foreign exchange market," Journal of International Economics, Elsevier, vol. 49(2), pages 245-267, December.
    4. Geert J. Almekinders, 1995. "Foreign Exchange Intervention," Books, Edward Elgar Publishing, number 71.
    5. Leonardo Bartolini & Lorenzo Giorgianni, 2001. "Excess Volatility of Exchange Rates with Unobservable Fundamentals," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 518-530, August.
    6. Bonser-Neal, Catherine & Tanner, Glenn, 1996. "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 853-878, December.
    7. Francisco Gallego & Leonardo Hernández & Klaus Schmidt-Hebbel, 1999. "Capital Controls in Chile: Effective? Efficient?," Working Papers Central Bank of Chile 59, Central Bank of Chile.
    8. Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series 1899, The World Bank.
    9. 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.
    10. Christian Andrew Johnson, 2000. "Métodos de Evaluación del Riesgo para Portafolios de Inversión," Working Papers Central Bank of Chile 67, Central Bank of Chile.
    11. Anna Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention as a Policy Tool," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 319-339, December.
    12. Naranjo, Andy & Nimalendran, M, 2000. "Government Intervention and Adverse Selection Costs in Foreign Exchange Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 453-477.
    13. Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile.
    14. Catherine Bonser-Neal, 1996. "Does central bank intervention stabilize foreign exchange rates?," Economic Review, Federal Reserve Bank of Kansas City, vol. 81(Q I), pages 43-57.
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    Cited by:

    1. Leon, Jorge & Morera, Ana Patricia & Ramos, Welmer, 2001. "El Pass Through del Tipo de Cambio: Un Análisis para la Economía Costarricense de 1991 al 2001 [Exchange Rate Pass Throught: an Analysis for the Costarican Economy from 1991 to 2001]," MPRA Paper 44508, University Library of Munich, Germany, revised 2001.
    2. Christian A.Johnson, 2001. "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
    3. Castillo-Maldonado, Carlos Eduardo, 2008. "Intervención cambiaria en Guatemala: ¿Ha sido efectiva? [Foreign Exchange Market Intervention in Guatemala: Has it been Effective?]," MPRA Paper 79038, University Library of Munich, Germany.
    4. Pedauga Sánchez, Luis Enrique, 2003. "Modelo de intervención cambiaria para el caso venezolano [Exchange intervention model for Venezuelan]," MPRA Paper 35407, University Library of Munich, Germany.

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