Does foreign exchange intervention reduces the exchange rate volatility?

2008 ◽  
Vol 4 (3) ◽  
pp. 221-224 ◽  
Author(s):  
Takeshi Hoshikawa
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Intervention ◽  
The Exchange Rate

scholarly journals MEASURING EFFICIENCY OF SOUTH AMERICAN FOREIGN EXCHANGE DERIVATIVES MARKET IN MINIMIZING CURRENCY RISK:

2019 ◽  
Vol 2 (1) ◽  
pp. 1-10
Author(s):  
RAAD MOZIB LALON
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Exchange Rate Regime ◽  
Exchange Rate Volatility ◽  
South American ◽  
Currency Risk ◽  
Measuring Efficiency ◽  
Spot Exchange Rate ◽  
Cross Country ◽  
The Exchange Rate

This paper attempts to reveal whether the foreign exchange (FX) derivatives market effectively and efficiently reduces the volatility to foreign exchange rate fiuctuations. Cross-country evidence suggests that development ofthe FXderivatives market does not boost up spot exchange rate volatility and reduces aggregate exposure to currency risk. Intraday evidence for Chile shows that activity in the forward market has not been associated with higher volatility in the exchange rate following the adoption ofa fioating exchange rate regime. The study also found no evidence that net positions of large participants in the FX derivatives market help to predict the exchange rate. These findings support the view that development of the FX derivatives market is valuable to reduce aggregate currency risk.

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.

scholarly journals Impact of Exchange Rate Management on the Nigerian Economic Growth: Empirical Validation

2019 ◽  
pp. 28-35
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Exchange Rate Volatility ◽  
Monetary Economics ◽  
Exchange Market ◽  
Central Bank Intervention ◽  
Foreign Exchange Intervention ◽  
International Money

Adewuyi, (2002). Balance of Payments Constraints and Growth Rate Differences under Alternative Police Regimes. Nigerian Institute of Social and Economic Research (NISER) Monograph Series No. 10, Ibadan, Nigeria. Adebiyi, M. A. (2007). An Evaluation of Foreign Exchange Intervention and Monetary Aggregates in Nigeria (1986-2003). The University of Munich Finance Journal, 4 (2),1-19. Aghin, P.; Bacchetta, P.; Ranciere, R. & Rogoff, K. (2006). Exchange rate volatility and productivity growth: The role of financial development. Journal of Monetary Economics, 56 (4), 494–51. Bonser-Neal, C. & Tanner, G. (1996). Central Bank Intervention and Volatility of Exchange Rates: Evidence from the Options Market. Journal of International Money and Finance, 18 (2), 23-45. Dominguez, K. (1990). Market Responses to Coordinated Central Bank Intervention. Carnegie Rochester Conference Series on Public Policy, 32 Dominguez, K. (1998). Central Bank Intervention and Exchange Rate Volatility. Journal of International and Finance, 15 (4). Dominguez, K & Frankel, J. A. (1993). Does Foreign Exchange Intervention matter? The Portfolio effect. American Economic Review, 83 (5), 231-259 Dubas, J.M., Lee, B.J., & Mark, N.C. (2005). Effective Exchange Rate Classifications and Growth. NBER Working Paper No. 11272 Frankel, J.A. ((1992). In search of the Exchange rate Premium: A Six-Currency Test assuming mean-variance optimization. Journal of International Money and Finance,1(2),19-32 Gosh, A. (1992). Is it Signinaling? Exchange Rate intervention and the Dollar Deutssche-Mark Rate. Journal of International Economics, 32(4), 45-67 Granger, C.W.J. & Newbold, P. 1974). Spurious regression in Econometrics, Journal of Econometrics 2 (4) 111-120. Harris R.G. (2002). New Economy and the Exchange Rate Regime. Centre for International Economics Studies, Discussion paper, No 111. Humpage, O. (1989). On the Effectiveness of Foreign Exchange Market Intervention. Federal Reserve Bank of Cleveland. Kaminsky, G & Lewis, K (1996). Does Foreign Exchange Intervention signal future monetary policy? Journal of Monetary Economics, 37(2), 66-89 Nwankwo (G.O) (1980). Money and capital markets in Nigeria Today. University of Lagos Press, Nigeria. Odusola A.F. and Akinlo, A.E. (2001). Output, Inflation, and Exchange Rate in Developing Countries: An Application to Nigeria. Developing Economies, 39(2). Oloyede, J. A. (2002). Principles of International Finance. Forthright Educational Publishers, Lagos. Rano-Aliyu S.U. (2009). Impact of Oil Price Shock and Exchange Rate Volatility on Economic Growth in Nigeria: An Empirical Investigation. Research Journal of International Studies 10(4) 23-45. Rognoff, K. (1984). The effects of sterilized intervention: An analysis of weekly data. Journal of Monetary Economics, 2 (2), 14-34. Sarno, L. & Taylor, M. P. (2001). Official intervention in the Foreign Exchange Market: Is it effective, and if so, how does it work? Journal of Economic Literature, 3(1), 39-56. Simatele, M.C.H.(2003). Financial Sector Reforms and Monetary Policy in Zambia. Ph.D Dissertation, Economics Studies, Department of Economics, School of Economics and Commercial Law, Goteborg University. Unugbro, A.O (2007). The Impact of Exchange Rate Fluctuation on Capital Inflow: The Nigerian Experience. The Nigeria Academic Journal of Social Sciences, 6(4),1-21

scholarly journals When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries

2019 ◽  
Vol 11 (1) ◽  
pp. 132-156 ◽  
Author(s):  
Marcel Fratzscher ◽  
Oliver Gloede ◽  
Lukas Menkhoff ◽  
Lucio Sarno ◽  
Tobias Stöhr
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Success Rate ◽  
Foreign Exchange ◽  
Narrow Band ◽  
Foreign Exchange Intervention ◽  
Policy Tool ◽  
Daily Data ◽  
Effective Policy ◽  
The Exchange Rate

This paper examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing the path of exchange rates, and in stabilizing the exchange rate in countries with narrow band regimes. Moving the level of the exchange rate in flexible regimes requires that some conditions are met, including the use of large volumes and that intervention is made public and supported via communication. (JEL E52, E58, F31, F33, O19, O24)

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