scholarly journals Monetary Response to Exchange Rate Dynamics: Regime Switching – Chartists and Fundamentalists Application to Australia

2013 ◽  
Author(s):  
Ferry Syarifuddin
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Empirical Evidence ◽  
Regime Switching ◽  
Rate Model ◽  
Central Bank Intervention ◽  
Exchange Rate Dynamics ◽  
Reserve Bank ◽  
Stabilizing Effect ◽  
Exchange Rate Intervention

In this paper we study the effect of central bank intervention within a heterogeneous expectations exchange rate model. The empirical evidence is conducted by applying a Markov switching approach to daily AUD/USD exchange rate, intervention data of the Reserve Bank of Australia from 2006 to 2012. Our results are supporting both chartists and fundamentalist regimes. It is shown that the two regimes are persistent. However, Reserve Bank of Australia efforts to exert a stabilizing effect of foreign exhange interventions, the result is inconclusive.

scholarly journals Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate

2021 ◽  
Vol 8 (4) ◽  
pp. 31
Author(s):  
KHATTAB Ahmed ◽  
SALMI Yahya
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Selection Criterion ◽  
Econometric Models ◽  
Interbank Market ◽  
Foreign Exchange Reserves ◽  
Central Bank Intervention ◽  
The Exchange Rate

The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.

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.

scholarly journals Central bank intervention and exchange rate volatility, its continuous and jump components

2007 ◽  
Vol 12 (2) ◽  
pp. 201-223 ◽  
Author(s):  
Michel Beine ◽  
Jérôme Lahaye ◽  
Sébastien Laurent ◽  
Christopher J. Neely ◽  
Franz C. Palm
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rate Volatility ◽  
Central Bank Intervention

Book Reviews

2012 ◽  
Vol 50 (1) ◽  
pp. 187-191
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
University Of California ◽  
Exchange Rate Risk ◽  
Exchange Rate Dynamics ◽  
Rate Risk ◽  
Currency Trading

Richard K. Lyons of University of California, Berkeley reviews “Exchange-Rate Dynamics” by Martin D. D.Evans. The EconLit Abstract of the reviewed work begins: Explores recent research on the sources and consequences of exchangerate variations. Discusses macro models without frictions; macro models with frictions; empirical macro models; rational expectations models; sequential trade models; currency-trading models; currency-trading models--empirical evidence; identifying order flow; order flows and the macroeconomy; exchange rates, order flows, and macro data releases; and exchange-rate risk. Evans is Professor of Economics in the Department of Economics and Professor of Finance in the McDonough School of Business at Georgetown University. Index.

Sign in / Sign up

Export Citation Format

Share Document