Un Modelo de Intervención Cambiaria
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.
|Date of creation:||Dec 2000|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
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.:
- 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.
- 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 453-77.
- 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.
- Francisco A. Gallego & Leonardo Hernandez & Klaus Schmidt-Hebbel, 2000. "Capital Controls in Chile: Effective? Efficient?," Econometric Society World Congress 2000 Contributed Papers 0330, Econometric Society.
- Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series 1899, The World Bank.
- Anna Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention as a Policy Tool," Journal of Financial Services Research, Springer, vol. 18(2), pages 319-339, December.
- Owen F. Humpage, 1996.
"U.S. intervention: assessing the probability of success,"
9608, Federal Reserve Bank of Cleveland.
- Humpage, Owen F, 1999. "U.S. Intervention: Assessing the Probability of Success," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(4), pages 731-47, November.
- 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.
- Anna J. Schwartz, 2000. "The Rise and Fall of Foreign Exchange Market Intervention," NBER Working Papers 7751, National Bureau of Economic Research, Inc.
- Catherine Bonser-Neal, 1996. "Does central bank intervention stabilize foreign exchange rates?," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 43-57.
- Leonardo Bartolini & Lorenzo Giorgianni, 2000.
"Excess volatility of exchange rates with unobservable fundamentals,"
103, Federal Reserve Bank of New York.
- Bartolini, Leonardo & Giorgianni, Lorenzo, 2001. "Excess Volatility of Exchange Rates with Unobservable Fundamentals," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 518-30, August.
- Christian Andrew Johnson, 2000. "Métodos de Evaluación del Riesgo para Portafolios de Inversión," Working Papers Central Bank of Chile 67, Central Bank of Chile.
- Geert J. Almekinders, 1995. "Foreign Exchange Intervention," Books, Edward Elgar, number 71.
- Vitale, Paolo, 1999. "Sterilised central bank intervention in the foreign exchange market," Journal of International Economics, Elsevier, vol. 49(2), pages 245-267, December.
When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:90. 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: (Claudio Sepulveda)
If references are entirely missing, you can add them using this form.