Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan

Fayyaz Hussain () and Abdul Jalil
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Fayyaz Hussain: State Bank of Pakistan

SBP Research Bulletin, 2007, vol. 3, 191-208

Abstract: This study addresses the question of whether intervention in foreign exchange market in Pakistan has been successful in either altering the exchange rate level or smoothing the exchange rate fluctuations. We apply GARCH model and the methodology of event study on the daily exchange rate and intervention to address the question. We find the evidence of effectiveness of official intervention on exchange rate level as well as on the variance.

Keywords: Intervention; Exchange Rate; Event Study; GARCH (search for similar items in EconPapers)
JEL-codes: E58 F31 (search for similar items in EconPapers)
Date: 2007
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Working Paper: Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan (2006)
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