The Impact of Different Types of Foreign Exchange Intervention: An Event Study Approach
Juan Echavarría (),
Luis Melo-Velandia () and
Mauricio Villamizar-Villegas ()
Borradores de Economia from Banco de la Republica de Colombia
To date, there is still great controversy as to which exchange rate model should be used or which monetary channel should be considered, when measuring the effects of monetary policy. Since most of the literature relies on structural models to address identification problems, the validity of results largely turn on how accurate the assumptions are in describing the full extent of the economy. In this paper we compare the effect of different types of central bank interventions using an event study approach for the Colombian case during the period 2000-2012, without imposing restrictive parametric assumptions or without the need to adopt a structural model. We find that all types of interventions (international reserve accumulation options, volatility options and discretionary) have been successful according to the smoothing criterion. In particular, volatility options seemed to have the strongest effect. We find that results are robust when using different windows sizes and counterfactuals.
Keywords: Central bank intervention; foreign exchange intervention mechanisms; event study. (search for similar items in EconPapers)
JEL-codes: E52 E58 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-cse, nep-ifn, nep-mac and nep-mon
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Journal Article: The Impact of Foreign Exchange Intervention in Colombia. An Event Study Approach (2014)
Working Paper: The Impact of Different Types of Foreign Exchange Intervention: An Event Study Approach (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:784
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