IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/79038.html
   My bibliography  Save this paper

Intervención cambiaria en Guatemala: ¿Ha sido efectiva?
[Foreign Exchange Market Intervention in Guatemala: Has it been Effective?]

Author

Listed:
  • Castillo-Maldonado, Carlos Eduardo

Abstract

Purchase and sale-oriented exchange rate intervention effectiveness carried on by the Central Bank of Guatemala is analyzed through an ACT-GARCH model. By using daily information for the period 1996-2008 it is found that purchase-oriented intervention tends to reduce exchange rate long run volatility, while sale oriented intervention tends to increase it. Nevertheless, both types of exchange rate intervention affected the quetzal/dollar level. Therefore, exchange rate intervention was effective when it was addressed to produce exchange rate trend effects, but it lacked effectiveness when the Central Bank of Guatemala limited intervention to moderate exchange rate volatility.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:79038
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/79038/1/MPRA_paper_79038.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, Oxford University Press, vol. 117(2), pages 379-408.
    2. Johnson, Christian A., 2001. "Un modelo de intervención cambiaria," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(271), pages 339-367, julio-sep.
    3. Carmen M. Reinhart, 2000. "Mirage of Floating Exchange Rates," American Economic Review, American Economic Association, vol. 90(2), pages 65-70, May.
    4. 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.
    5. Roman Horvath, 2007. "Modelling Central Bank Intervention Activity under Inflation Targeting," Economics Bulletin, AccessEcon, vol. 6(29), pages 1-8.
    6. 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.
    7. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
    8. Lewis, Karen K, 1995. "Are Foreign Exchange Intervention and Monetary Policy Related, and Does It Really Matter?," The Journal of Business, University of Chicago Press, vol. 68(2), pages 185-214, April.
    9. Kathryn M. Dominguez, 1993. "Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?," NBER Working Papers 4532, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    intervencion cambiaria de compra; intervención cambiaria de venta; intervención efectiva; tipo de cambio y volatilidad cambiaria.;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:79038. 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: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.