Central Bank Foreign Exchange Market Intervention And Option Contract Specification

Author : Mr.Ousmene Mandeng
Publisher : International Monetary Fund
ISBN 13 : 1451855729
Total Pages : 18 pages
Book Rating : 4.22/5 ( download)

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Download or read book Central Bank Foreign Exchange Market Intervention and Option Contract Specification written by Mr.Ousmene Mandeng and published by International Monetary Fund. This book was released on 2003-06-01 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to identify appropriate option contract specifications for effective central bank exchange market intervention. Option contract specifications determine the impact of options on the underlying asset or currency, and hence their actual effect on asset price or currency volatility and are therefore key to determining the effectiveness of option-based intervention. The paper reviews the experience of the systematic option-based foreign exchange market intervention of the Central Bank of Colombia and finds that its contract has only been moderately successful at abating exchange rate volatility, which is attributed here to sub-optimal contract specifications.

Author : Ousmene Mandeng
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.30/5 ( download)

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Download or read book Central Bank Foreign Exchange Market Intervention and Option Contract Specification: the Case of Colombia written by Ousmene Mandeng and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Romain Lafarguette
Publisher : International Monetary Fund
ISBN 13 : 1513569406
Total Pages : 33 pages
Book Rating : 4.06/5 ( download)

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Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.

Author : International Monetary Fund. Statistics Dept.
Publisher : International Monetary Fund
ISBN 13 : 1484350162
Total Pages : 258 pages
Book Rating : 4.64/5 ( download)

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Download or read book International Reserves and Foreign Currency Liquidity written by International Monetary Fund. Statistics Dept. and published by International Monetary Fund. This book was released on 2015-01-07 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This update of the guidelines published in 2001 sets forth the underlying framework for the Reserves Data Template and provides operational advice for its use. The updated version also includes three new appendices aimed at assisting member countries in reporting the required data.

Author : Catherine A. Bonser-Neal
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.89/5 ( download)

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Download or read book Central Bank Intervention and the Volatility of Foreign Exchange Rates written by Catherine A. Bonser-Neal and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Roberto Pereira Guimarães
Publisher : International Monetary Fund
ISBN 13 : 145185711X
Total Pages : 45 pages
Book Rating : 4.15/5 ( download)

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Download or read book Official Intervention in the Foreign Exchange Market written by Roberto Pereira Guimarães and published by International Monetary Fund. This book was released on 2003-07-01 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers guidance on the operational aspects of official intervention in the foreign exchange market, particularly in developing countries with flexible exchange rate regimes. A brief survey of the literature and country experience is followed by an analysis of the objectives, timing, amount, degree of transparency, and choice of markets and counterparties in conducting intervention. The analysis highlights the difficulty of detecting exchange rate misalignments and disorderly markets, and argues in favor of parsimony in official intervention. Determining the timing and amount of intervention is a highly subjective excercise, and some degree of discretion is almost necessary, though policy rules may serve as "rules of thumb."

Author : Milan Nedeljkovic
Publisher : International Monetary Fund
ISBN 13 : 1475571038
Total Pages : 35 pages
Book Rating : 4.35/5 ( download)

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Download or read book The Relative Effectiveness of Spot and Derivatives Based Intervention written by Milan Nedeljkovic and published by International Monetary Fund. This book was released on 2017-01-24 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a significant link between both modes of intervention and the first two moments of the real/dollar exchange rate. As predicted by theory for the case of negligible convertibility risk, the impact of spot market intervention in our baseline sample is strikingly similar to that achieved through futures based intervention worth an equivalent amount in notional principal.

Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher :
ISBN 13 : 9789291319626
Total Pages : 0 pages
Book Rating : 4.27/5 ( download)

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Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Michael D. Bordo
Publisher : University of Chicago Press
ISBN 13 : 022605151X
Total Pages : 453 pages
Book Rating : 4.12/5 ( download)

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Download or read book Strained Relations written by Michael D. Bordo and published by University of Chicago Press. This book was released on 2015-03-02 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the twentieth century, foreign-exchange intervention was sometimes used in an attempt to solve the fundamental trilemma of international finance, which holds that countries cannot simultaneously pursue independent monetary policies, stabilize their exchange rates, and benefit from free cross-border financial flows. Drawing on a trove of previously confidential data, Strained Relations reveals the evolution of US policy regarding currency market intervention, and its interaction with monetary policy. The authors consider how foreign-exchange intervention was affected by changing economic and institutional circumstances—most notably the abandonment of the international gold standard—and how political and bureaucratic factors affected this aspect of public policy.

Author : Ms.Hali J. Edison
Publisher : International Monetary Fund
ISBN 13 : 1451852290
Total Pages : 31 pages
Book Rating : 4.95/5 ( download)

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Download or read book Foreign Exchange Intervention and the Australian Dollar written by Ms.Hali J. Edison and published by International Monetary Fund. This book was released on 2003-05-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the Australian dollar was floated in December 1983, the Australian central bank (Reserve Bank of Australia) has actively intervened in the foreign exchange market. Using daily exchange rate and official intervention data from January 1984 to December 2001, this paper examines what effects, if any, foreign exchange operations by the Reserve Bank of Australia (RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate the effectiveness of intervention by examining its direct effect on the level of the exchange rate. We find that over the period 1997-2001, the RBA has had some success in its intervention operations, by moderating the depreciating tendency of the Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating rate period. Our results indicate that intervention operations tend to be associated with an increase in exchange rate volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA intervention are quite modest on both the level and the volatility of the Australian dollar exchange rate.