Effective sterilized foreign exchange intervention? : evidence from a rule-based policy

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Borradores de Economía; No. 964
Date published
2016-10-10
Date of last update
2016-10-10
Author
Kuersteiner, Guido M.
Phillips, David C.
Villamizar-Villegas, Mauricio
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
We investigate the e ectiveness of sterilized foreign exchange interventions by exploiting a discontinuous policy rule used by the Central Bank of Colombia (CBoC). We use a unique data set from CBoC comprised of tick by tick intervention and order book da
JEL Codes
E58 - Central Banks and Their PoliciesF31 - Foreign ExchangeC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
Keywords
Rule-based foreign exchange interventions ; Portfolio balance ; Central bank policy ; Regression discontinuity ; Non-linear impulse response ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6275
https://hdl.handle.net/20.500.12134/6275
https://doi.org/10.32468/be.964
https://ideas.repec.org/p/bdr/borrec/964.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit