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Author: Gustavo Adler Publisher: International Monetary Fund ISBN: 148433230X Category : Business & Economics Languages : en Pages : 37
Book Description
The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.
Author: Gustavo Adler Publisher: International Monetary Fund ISBN: 148433230X Category : Business & Economics Languages : en Pages : 37
Book Description
The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.
Author: Gustavo Adler Publisher: International Monetary Fund ISBN: 1513534602 Category : Business & Economics Languages : en Pages : 42
Book Description
We study the effect of foreign exchange intervention on the exchange rate relying on an instrumental-variables panel approach. We find robust evidence that intervention affects the level of the exchange rate in an economically meaningful way. A purchase of foreign currency of 1 percentage point of GDP causes a depreciation of the nominal and real exchange rates in the ranges of [1.7-2.0] percent and [1.4-1.7] percent respectively. The effects are found to be quite persistent. The paper also explores possible asymmetric effects, and whether effectiveness depends on the depth of domestic financial markets.
Author: International Monetary Fund. Statistics Dept. Publisher: International Monetary Fund ISBN: 1484350162 Category : Business & Economics Languages : en Pages : 258
Book Description
This update of the guidelines published in 2001 sets forth the underlying framework for the Reserves Data Template and provides operational advice for its use. The updated version also includes three new appendices aimed at assisting member countries in reporting the required data.
Author: Romain Lafarguette Publisher: International Monetary Fund ISBN: 1513569406 Category : Business & Economics Languages : en Pages : 33
Book Description
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author: Michael D. Bordo Publisher: University of Chicago Press ISBN: 022605151X Category : Business & Economics Languages : en Pages : 453
Book Description
During the twentieth century, foreign-exchange intervention was sometimes used in an attempt to solve the fundamental trilemma of international finance, which holds that countries cannot simultaneously pursue independent monetary policies, stabilize their exchange rates, and benefit from free cross-border financial flows. Drawing on a trove of previously confidential data, Strained Relations reveals the evolution of US policy regarding currency market intervention, and its interaction with monetary policy. The authors consider how foreign-exchange intervention was affected by changing economic and institutional circumstances—most notably the abandonment of the international gold standard—and how political and bureaucratic factors affected this aspect of public policy.
Author: Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher: ISBN: 9789291319626 Category : Banks and banking, Central Languages : es Pages : 0
Author: Signe Krogstrup Publisher: International Monetary Fund ISBN: 1484353668 Category : Business & Economics Languages : en Pages : 64
Book Description
The literature on the drivers of capital flows stresses the prominent role of global financial factors. Recent empirical work, however, highlights how this role varies across countries and time, and this heterogeneity is not well understood. We revisit this question by focusing on financial intermediaries’ funding flows in different currencies. A concise portfolio model shows that the sign and magnitude of the response of foreign currency funding flows to global risk factors depend on the financial intermediary’s pre-existing currency exposure. An analysis of a rich dataset of European banks’ aggregate balance sheets lends support to the model predictions, especially in countries outside the euro area.
Author: International Monetary Fund Publisher: International Monetary Fund ISBN: 9781589062603 Category : Business & Economics Languages : en Pages : 34
Book Description
These guidelines are intended to assist countries in strengthening their policy frameworks for reserve management so that they can become more resilient to shocks that may originate from global financial markets or within the domestic financial system. The guidelines have been developed as part of a broader IMF work program to help strengthen international financial architecture, to promote policies and practices that contribute to stability and transparency in the financial sector, and to reduce external vulnerabilities of member countries.
Author: Kathryn M. Dominguez Publisher: Peterson Institute for International Economics ISBN: Category : Business & Economics Languages : en Pages : 196
Book Description
How much impact on exchange rates do central banks have when they buy and sell currencies? According to many analysts, such intervention has no independent impact. This book challenges the conventional wisdom, demonstrating that such intervention can be an effective and extremely important tool for policymakers. Using previously unavailable daily intervention data from the US Federal Reserve and German Bundesbank, the authors show that even "sterilized" intervention -intervention that entails no corresponding changes in monetary policy- has a significant effect. A key element is whether the intervention is known to the public: widespread market awareness of the activity adds substantially to its payoff. Authors Dominguez and Frankel draw implications for intervention policy and its role in international economic policy coordination.
Author: Gustavo Adler
Author: Gustavo Adler
Author: Gustavo Adler
Author: International Monetary Fund. Statistics Dept.
Author: Romain Lafarguette
Author: Michael D. Bordo
Author: Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Author: Signe Krogstrup
Author: International Monetary Fund
Author: Kathryn M. Dominguez
Author: Richard K. Lyons