scholarly journals The impact of different types of foreign exchange intervention : an event study approach

2013 ◽  
Author(s):  
Juan José Echavarría-Soto ◽  
Luis Fernando Melo-Velandia ◽  
Mauricio Villamizar-Villegas
Keyword(s):  
Event Study ◽  
Foreign Exchange ◽  
Foreign Exchange Intervention ◽  
Study Approach ◽  
Different Types ◽  
The Impact

scholarly journals The Impact of Foreign Exchange Intervention in Colombia. An Event Study Approach

2014 ◽  
pp. 7-31 ◽  
Author(s):  
Juan José Echavarría ◽  
Luis Fernando Melo ◽  
Mauricio Villamizar
Keyword(s):  
Event Study ◽  
Foreign Exchange ◽  
Foreign Exchange Intervention ◽  
Study Approach ◽  
The Impact

scholarly journals The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach

2019 ◽  
Vol 7 (1) ◽  
pp. 9 ◽  
Author(s):  
Gang Wang
Keyword(s):  
Interest Rates ◽  
Event Study ◽  
The United States ◽  
Mortgage Market ◽  
Quantitative Easing ◽  
Study Approach ◽  
Mortgage Rate ◽  
Mortgage Securities ◽  
The Impact ◽  
T Distribution

This paper uses event study analysis to estimate the impact of the United States Federal Reserve Bank’s (Fed) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE announcements are identified and their effects are evaluated. The best-fitting integrated generalized autoregressive conditional heteroskedasticity (IGARCH) model with skewed t distribution is used to measure the QE announcement effects on daily changes of the 30-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an increase in mortgage-backed security purchases decreased the mortgage rate more than the Treasury rate and reduced the credit risk of holding mortgage securities over Treasury securities. The delayed effects of QE announcements on the mortgage rate were less than short-run effects but persistent. We also find that the previous literature overestimates QE effects on interest rates in general.

scholarly journals Efeitos das Intervenções Cambiais à vista na Taxa de Câmbio R$/US$ de 1999 a 2008: Um Estudo de Evento

2010 ◽  
Vol 8 (2) ◽  
pp. 229
Author(s):  
Roberto Meurer ◽  
Felipe Wolk Teixeira ◽  
Eduardo Cardeal Tomazzia
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Exchange Intervention ◽  
Study Approach ◽  
Rate Acceleration ◽  
Rate Behavior ◽  
The Exchange Rate ◽  
Short Time ◽  
New Criterion

This study analyses interventions in the Brazilian spot foreign exchange market from 1999 to 2008 and their effects on the R$/US$ exchange rate, using an event study approach. It aims to verify if the foreign exchange interventions have any significant impact on the exchange rate behavior. The period was divided according to a MS-VAR model and analyzed with different criterions. The results indicate that prolonged foreign exchange intervention have a greater effect on the exchange rate behavior, in comparison to short time intervention episodes. The results also point to the existence of quickly dissipating effects on the rate behavior. The creation of a new criterion, based on the analysis of exchange-rate acceleration, shows that the exchange rate is mainly prone to accelerate on leaning with the wind purchase intervention episodes.

Spillover effects of the US monetary policy on the Indian trilemma

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Harpreet Singh Grewal ◽  
Pushpa Trivedi
Keyword(s):  
Monetary Policy ◽  
Event Study ◽  
Spillover Effects ◽  
Subject Area ◽  
Open Market ◽  
Content Type ◽  
Study Approach ◽  
The Us ◽  
The Impact ◽  
Us Monetary Policy

PurposeThe purpose of this paper is to investigate the impact of the US unconventional monetary policy surprises on the management of trilemma in India.Design/methodology/approachThis paper uses the event study approach along with OLS and MANOVA to examine the impact.FindingsThe results validate the existence of trilemma in India for the period from October 2008 to December 2017. The results also show that monetary policy independence still exists in India in the wake of greater spillover effects during the Federal Open Market Committee announcement days. The spillover effects on USD-INR exchange rates and capital flows are found to be statistically significant. The MANOVA results show that the trilemma in India is influenced by around 20% by the changes in the US monetary policy.Originality/valueThe above approach of event study combined with MANOVA in this subject area has not been used before to the best of the authors’ knowledge. Further, there are only a few studies that exist on the spillover effects of the US monetary policy actions on the management of trilemma in India.

scholarly journals Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach.

2011 ◽  
Vol 50 (4II) ◽  
pp. 821-839
Author(s):  
Habib-ur-Rahman Habib-ur-Rahman ◽  
Hasan M. Mohsin
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Event Study ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Event Window ◽  
Significant Evidence ◽  
Study Approach ◽  
Arch Effect ◽  
The Impact

The objective of this paper is to analyse the impact of monetary policy (MP) announcements on market interest rates at different nine maturities (1/Week, 2/Week, 1/Month, 3/Months, 6/Months, 9/Months, 1/Year, 2/Years and 3/Years) in Pakistan. The Event window of 11 days and an estimation window of 250 days have been used for analysis. The study did not find significant evidence of ARCH effect in market interest rates at (1/Year, 2/Years and 3/Years) maturities. However, there is evidence of significant abnormal returns which shows a positive impact of monetary policy announcements on market interest rates at different nine maturities. Keywords: Monetary Policy, Market Interest Rates, Normal Rates, Abnormal Rates, GARCH, ARIMA

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