The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru

Produced by: 
Bank of International Settlements
Available from: 
September 2014
Paper author(s): 
Miguel Fuentes
Pablo Pincheira
Juan Manuel Julio
Hernán Rincón
Santiago García-Verdú
Miguel Zerecero
Marco Vega
Erick Lahura
Ramon Moreno
Macroeconomics - Economic growth - Monetary Policy

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 Chile's experience suggests that the announcement effects of even non-discretionary programmes may be significant and persistent.


Research section: 
Latest Research
Share this