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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 and Hernán Rincón ()
Authors registered in the RePEc Author Service: Hernan Rincon-Castro ()

No 12258, Borradores de Economia from Banco de la Republica

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 Chileâs 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)
JEL-codes: E58 F31 G14 (search for similar items in EconPapers)
Pages: 46
Date: 2014-10-21
New Economics Papers: this item is included in nep-ifn, nep-lam, nep-mac, nep-mon and nep-mst
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Related works:
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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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:012258

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