汇率
经济
折旧(经济)
货币经济学
货币
投机
外汇市场
波动性(金融)
干预(咨询)
中央银行
部分平衡
货币政策
金融经济学
宏观经济学
一般均衡理论
微观经济学
利润(经济学)
心理学
精神科
资本形成
金融资本
作者
Hernando Vargas-Herrera,Mauricio Villamizar‐Villegas
标识
DOI:10.1016/j.jfs.2020.100813
摘要
Most of the foreign exchange intervention literature overlooks the influence of market uncertainty when evaluating effectiveness. In this paper we take a fresh new look at how this uncertainty amplifies exchange rate effects. Our contribution is twofold. We first posit a partial equilibrium model with frictions to illustrate that when uncertainty is low, intervention is less effective, for agents are willing to bet against the central bank. Conversely, when uncertainty is high, intervention faces a weaker countervailing force from speculators and arbitragers. Second, we empirically test for the incremental effects of flimsy exchange rate fundamentals by using a sharp policy discontinuity in the way the Central Bank of Colombia intervened in the FX market. Our results indicate that market uncertainty increases depreciation of domestic currency in approximately 2 percentage points (pp) following central bank purchases of foreign currency and extends its duration in up to 4 weeks. Additionally, these purchases have an incremental effect in curbing exchange rate volatility in close to 5 pp.
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