Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan

Fayyaz Hussain () and Abdul Jalil
Additional contact information
Fayyaz Hussain: State Bank of Pakistan

No 14, SBP Working Paper Series from State Bank of Pakistan, Research Department

Abstract: This study addresses the question of whether intervention in foreign exchange market in Pakistan has been successful in either altering the exchange rate level or smoothing the exchange rate fluctuations. We apply GARCH model and the methodology of event study on the daily exchange rate and intervention to address the question. We find the evidence of effectiveness of official intervention on exchange rate level as well as on the variance. Length: 25 pages

Keywords: Intervention; exchange rate; event study; GARCH (search for similar items in EconPapers)
JEL-codes: E58 F31 (search for similar items in EconPapers)
Date: 2006-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sbp.org.pk/repec/sbp/wpaper/wp14.pdf First version, 2006 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.sbp.org.pk/repec/sbp/wpaper/wp14.pdf [301 Moved Permanently]--> https://www.sbp.org.pk/repec/sbp/wpaper/wp14.pdf)

Related works:
Journal Article: Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbp:wpaper:14

Access Statistics for this paper

More papers in SBP Working Paper Series from State Bank of Pakistan, Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Faisal Saleem ().