High Frequency Dynamics of the Exchange Rate in Chile
Kevin Cowan (),
David Rappoport and
Jorge Selaive ()
Working Papers Central Bank of Chile from Central Bank of Chile
We estimate a reduced form model for the daily dynamics of the nominal spot exchange rate in Chile. The model does reasonably well in explaining the long and short run dynamics for the peso-dollar exchange rate for the period 2001-2006. In addition, we extend the model to evaluate the effects of the foreign investment of pension funds, foreign exchange rate interventions by the Central Bank and other events whose effects on the exchange rate have policy implications. We find –in line with previous work conducted at the Central Bank - that the impact of Central Bank actions on the FX market seemed to be better channeled through public announcements. Moreover, we find that changes in the pension funds limits on foreign assets had significant, but small and transitory effects on the spot peso-dollar exchange rate.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:433
Access Statistics for this paper
More papers in Working Papers Central Bank of Chile from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Alvaro Castillo ().