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The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru

Miguel Fuentes (), Pablo Pincheira, Juan Julio, Hernan Rincon-Castro (), Santiago Garcia-Verdu (), Miguel Zerecero, Marco Vega, Erick Lahura and Ramon Moreno

No 462, BIS Working Papers from Bank for International Settlements

Abstract: This paper analyses the effects of sterilised, intraday foreign exchange market operations (non-discretionary and discretionary) on foreign exchange returns and volatility in four inflation targeting economies in Latin America. The distribution of exchange rates during intervention and non-intervention days are first compared, and then event study regressions are used to estimate the impact of intervention (and macro surprises) on exchange rate returns and exchange rate volatility as well as on foreign exchange market turnover (in Colombia). In general, the results suggest that the impact of both non-discretionary and discretionary operations is at times significant but transitory. However, an analysis of Chile's experience suggests that the announcement effects of even non-discretionary programmes may be significant and persistent.

Keywords: Exchange rate; central bank intervention; microstructure (search for similar items in EconPapers)
Pages: 48 pages
Date: 2014-09
New Economics Papers: this item is included in nep-ifn, nep-lam, nep-mon and nep-mst
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Working Paper: The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru (2014) Downloads
Working Paper: The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru (2014) Downloads
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