Un Modelo de Intervención Cambiaria

Christian Johnson ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This article presents an intervention methodology to neutralize fluctuations not associated to fundamentals. The mechanism is based on a conditional heteroskedasticity model GARCH(1,1) for the nominal exchange rate, combined with the Value at Risk concept. The simulation provides the authority with a tool to evaluate whether or not current exchange rate fluctuations can be connected to fundamentals, or if an intervention is required using international reserves to reduce exchange rate pressures. Because of the lower implicit volatilities, the intervention system will help develop the domestic hedging market, and also increase investment and international trade.

Date: 2000-12
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-pke
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Citations: View citations in EconPapers (3)

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Journal Article: Un modelo de intervención cambiaria (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:90

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