Currency intervention: A case study of an emerging market
Using a unique dataset on daily foreign exchange intervention and a new methodological framework of a latent factor model of central bank intervention, this paper addresses the effects of intervention in an emerging market. Events in financial markets from 2002 to 2010 provide a natural experiment t...
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| Veröffentlicht in: | Journal of international money and finance 2013-10, Vol.37, p.25-47 |
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| container_title | Journal of international money and finance |
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| creator | Fry-McKibbin, Renée A. Wanaguru, Sumila |
| description | Using a unique dataset on daily foreign exchange intervention and a new methodological framework of a latent factor model of central bank intervention, this paper addresses the effects of intervention in an emerging market. Events in financial markets from 2002 to 2010 provide a natural experiment to evaluate the short and medium term objectives of the central bank to contain excessive exchange rate volatility and to accumulate foreign reserves respectively. In the low volatility period in the first part of the sample, the central bank is successful in influencing the currency when pressure is to appreciate, accumulating international reserves. The same model estimated for the global volatility period in the second part of the sample shows the central bank intervening to mitigate excessive exchange rate volatility in line with the short-term objective. The results point to the need to consider the cross currency market interdependence between emerging markets when modeling intervention. |
| doi_str_mv | 10.1016/j.jimonfin.2013.05.007 |
| format | Article |
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Events in financial markets from 2002 to 2010 provide a natural experiment to evaluate the short and medium term objectives of the central bank to contain excessive exchange rate volatility and to accumulate foreign reserves respectively. In the low volatility period in the first part of the sample, the central bank is successful in influencing the currency when pressure is to appreciate, accumulating international reserves. The same model estimated for the global volatility period in the second part of the sample shows the central bank intervening to mitigate excessive exchange rate volatility in line with the short-term objective. 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The results point to the need to consider the cross currency market interdependence between emerging markets when modeling intervention.</description><subject>Bank regulation</subject><subject>Capital market</subject><subject>Central banks</subject><subject>Currencies</subject><subject>Currency intervention</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Emerging markets</subject><subject>Exchange rate volatility</subject><subject>Factor model</subject><subject>Foreign exchange intervention</subject><subject>Foreign exchange rates</subject><subject>Investment analysis</subject><subject>Personal finance</subject><subject>Reserve accumulation</subject><subject>Securities markets</subject><subject>Studies</subject><subject>Volatility</subject><issn>0261-5606</issn><issn>1873-0639</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><recordid>eNqFkD1PwzAURS0EEqXwF5AlFpaE5yR2Yiaqii-pEgvMlus8Vw6tU-ykUv89rgoLC9Nbzr169xByzSBnwMRdl3du03vrfF4AK3PgOUB9QiasqcsMRClPyQQKwTIuQJyTixg7ABCibCZEzscQ0Js9dX7AsEM_uN7f0xk1OiKNw9juaW-p9hQ3GFbOr-hGh08cLsmZ1euIVz93Sj6eHt_nL9ni7fl1PltkpirrIZPLSoLUUFjbcL0E3phSmpZhVVkBprZVA9I0KI1uNJOIVrBat6WQvG2Wac-U3B57t6H_GjEOauOiwfVae-zHqFjFJed1wauE3vxBu34MPn2XqKqQUhSySJQ4Uib0MQa0ahtc2rRXDNTBqOrUr1F1MKqAq2Q0BR-OQUxzdw6DisYld9i6gGZQbe_-q_gGd2mBbQ</recordid><startdate>20131001</startdate><enddate>20131001</enddate><creator>Fry-McKibbin, Renée A.</creator><creator>Wanaguru, Sumila</creator><general>Elsevier Ltd</general><general>Elsevier Science Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20131001</creationdate><title>Currency intervention: A case study of an emerging market</title><author>Fry-McKibbin, Renée A. ; Wanaguru, Sumila</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c437t-9b4909a02ff85ab058c39cd1e44f60c7f4809c8e9ca8a19eef617ad3695d8b013</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2013</creationdate><topic>Bank regulation</topic><topic>Capital market</topic><topic>Central banks</topic><topic>Currencies</topic><topic>Currency intervention</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Emerging markets</topic><topic>Exchange rate volatility</topic><topic>Factor model</topic><topic>Foreign exchange intervention</topic><topic>Foreign exchange rates</topic><topic>Investment analysis</topic><topic>Personal finance</topic><topic>Reserve accumulation</topic><topic>Securities markets</topic><topic>Studies</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Fry-McKibbin, Renée A.</creatorcontrib><creatorcontrib>Wanaguru, Sumila</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of international money and finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Fry-McKibbin, Renée A.</au><au>Wanaguru, Sumila</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Currency intervention: A case study of an emerging market</atitle><jtitle>Journal of international money and finance</jtitle><date>2013-10-01</date><risdate>2013</risdate><volume>37</volume><spage>25</spage><epage>47</epage><pages>25-47</pages><issn>0261-5606</issn><eissn>1873-0639</eissn><abstract>Using a unique dataset on daily foreign exchange intervention and a new methodological framework of a latent factor model of central bank intervention, this paper addresses the effects of intervention in an emerging market. 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| identifier | ISSN: 0261-5606 |
| ispartof | Journal of international money and finance, 2013-10, Vol.37, p.25-47 |
| issn | 0261-5606 1873-0639 |
| language | eng |
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| source | Elsevier ScienceDirect Journals Complete |
| subjects | Bank regulation Capital market Central banks Currencies Currency intervention Economic models Economic theory Emerging markets Exchange rate volatility Factor model Foreign exchange intervention Foreign exchange rates Investment analysis Personal finance Reserve accumulation Securities markets Studies Volatility |
| title | Currency intervention: A case study of an emerging market |
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