The effectiveness of foreign exchange intervention in emerging market countries: evidence from the Czech koruna

Gabriele Galati and Piti Disyatat

No 172, BIS Working Papers from Bank for International Settlements

Abstract: We survey the literature on the efficacy of foreign exchange market intervention in emerging market countries, emphasising the differences with the literature on industrial countries. We then use official statistics on central bank intervention by the Czech National Bank in conjunction with options market data, to study the impact of intervention during 2001-02. We find that central bank intervention had some (weakly) statistically significant impact on the spot rate and the risk reversal but that this impact was small. We do not find evidence that intervention had an influence on short-term exchange rate volatility. We also find that, in our sample period, Czech authorities appeared to intervene mainly in response to an acceleration of the speed of koruna appreciation.

Keywords: central banks and their policies; foreign exchange (search for similar items in EconPapers)
JEL-codes: E58 F31 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2005-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (73)

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Related works:
Journal Article: The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:172

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