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Asymmetric effects of FOREX intervention using intraday data: evidence from Peru

Erick Lahura and Marco Vega

No 430, BIS Working Papers from Bank for International Settlements

Abstract: Asymmetric effects of Central Bank foreign exchange (forex) intervention have not been extensively studied in the literature, even though in practice Central Bank's motives for purchasing and for selling foreign currency may differ. This paper studies asymmetric effects of Central Bank interventions under the premise that policy authorities view depreciations and appreciations as having asymmetric implications. Using undisclosed intraday data for Peru from 2009 to 2011, this paper shows that Central Bank interventions in the foreign exchange market have a signifcant and asymmetric effect on interbank exchange rates. Specifically, central bank intervention is more effective in reducing the interbank exchange rate than in raising it.

Keywords: exchange rate; foreign exchange market; intervention (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013-09
New Economics Papers: this item is included in nep-ifn and nep-mon
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