scholarly journals New Evidence on the Effects of Exchange Rate Intervention

10.3386/w2052 ◽  
1986 ◽  
Author(s):  
Martin Feldstein
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Intervention ◽  
New Evidence

scholarly journals New evidence on the effectiveness of interventions in the foreign exchange market in Brazil

2020 ◽  
Vol 18 (2) ◽  
pp. 29
Author(s):  
Fernando Nascimento Oliveira
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Continuous Time ◽  
Foreign Exchange Market ◽  
Nominal Exchange Rate ◽  
Sample Period ◽  
Exchange Market ◽  
Conditional Mean ◽  
Exchange Rate Intervention ◽  
New Evidence

<p>This paper discusses the effectiveness in Brazil of the traditional instrument of exchange rate intervention (spot interventions) as well as an instrument based on exchange rate derivatives (foreign exchange swaps). We show that these instruments are capable of affecting the conditional mean of the process of the nominal exchange rate throughout our sample period, from January 2006 to April 2016. Our results are robust to different techniques of estimation (GMM in continuous time and in discrete time), specifications and sample periods.</p><p> </p>

Questioning the effect of the real exchange rate on growth: new evidence from Mexico

2021 ◽  
Vol 9 (2) ◽  
pp. 253-269
Author(s):  
Florencia Médici ◽  
Augustín Mario ◽  
Alejandro Fiorito
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Public Expenditure ◽  
Institutional Arrangements ◽  
Relative Price ◽  
The Real ◽  
Empirical Results ◽  
New Evidence

This study provides new evidence showing that the real exchange rate (RER) does not play an important role in the growth of Mexican GDP. Economic growth is not an automatically predetermined result of relative price correction, and it is important to consider distinctive aspects of national institutional arrangements (fiscal and monetary, for example) for understanding theoretical causality of demand. The empirical results show public expenditure is an overlooked variable in regressions where the exchange rate affects product growth. After incorporating public expenditure, the RER impact on growth becomes insignificant. For its part, public expenditure has a positive and significant effect on GDP in the long term. The RER does not lead to greater GDP since exports are not stimulated through price.

scholarly journals Optimal Foreign Exchange Rate Intervention in Lévy Markets

2014 ◽  
Vol 2014 ◽  
pp. 1-8 ◽  
Author(s):  
Masimba Aspinas Mutakaya ◽  
Eriyoti Chikodza ◽  
Edward T. Chiyaka
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Impulse Control ◽  
Value Function ◽  
Quasivariational Inequalities ◽  
Expected Number ◽  
A Value ◽  
The Exchange Rate ◽  
Intervention Costs ◽  
Exchange Rate Intervention

This paper considers an exchange rate problem in Lévy markets, where the Central Bank has to intervene. We assume that, in the absence of control, the exchange rate evolves according to Brownian motion with a jump component. The Central Bank is allowed to intervene in order to keep the exchange rate as close as possible to a prespecified target value. The interventions by the Central Bank are associated with costs. We present the situation as an impulse control problem, where the objective of the bank is to minimize the intervention costs. In particular, the paper extends the model by Huang, 2009, to incorporate a jump component. We formulate and prove an optimal verification theorem for the impulse control. We then propose an impulse control and construct a value function and then verify that they solve the quasivariational inequalities. Our results suggest that if the expected number of jumps is high the Central Bank will intervene more frequently and with large intervention amounts hence the intervention costs will be high.

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