巴黎银行-新兴市场-投资策略-新兴市场技术说明：有没有最佳的外汇干预策略？答案是否定的-20180615-13页_634kb

EM/LATAM Strategy Summary

Core Content

This document, authored by Banco BNP Paribas Brasil S.A., presents an analytical framework to evaluate the effectiveness of foreign exchange (FX) intervention strategies in emerging markets (EMs). It outlines the key channels through which central banks can influence FX rates and discusses the implications of using rules-based versus discretionary intervention. The document also highlights the importance of macroeconomic fundamentals and the nature of shocks in determining the appropriate use of FX intervention.

Main Views and Key Information

FX Intervention Channels

There are three primary channels through which FX intervention can affect the exchange rate:

1. Portfolio-balance channel

   • Applicable in economies with closed financial markets.
   • Central banks can influence exchange rates by altering the supply and demand for financial assets.
   • Effective when the size of intervention is large, as seen in Argentina's case.

2. Signalling channel

   • Relies on the central bank's credibility and transparency.
   • Interventions are often not disclosed, as central banks may prefer unnoticeable actions to avoid market speculation.
   • Empirical studies suggest that this channel is not as significant as previously thought.

3. Order-flow channel

   • Based on the central bank's superior information about market activity.
   • Effective only if the size of intervention is large relative to market turnover.
   • Central banks can use this to guide FX market behavior.

Nature of Shocks and Intervention Decisions

• Temporary shocks to the economy may justify FX intervention if they cause excessive exchange rate fluctuations without affecting macro fundamentals.
• Permanent shocks, such as changes in domestic monetary conditions or terms of trade, may alter expectations and FX rates, but intervention should be avoided unless the rate movement causes disruptive overshooting.
• The Argentine Central Bank (BCRA) made a mistake by intervening in response to what appeared to be a permanent shift in global and EM risk pricing, rather than a temporary shock.

Rules-Based vs. Discretionary Intervention

• Rules-based intervention may be appropriate for short-term use but is not a dominant policy.
• Discretionary intervention is often more effective, but it is not universally superior.
• Over time, most central banks tend to abandon or modify rules-based strategies to allow for more flexibility.
• Discretion can reduce speculative flows and international reserve costs, but may increase exchange rate volatility.

Effectiveness of FX Intervention

• Intervention aimed at reducing FX rate volatility can lower speculative risk but may increase international reserve volatility and intervention costs.
• Costs are especially high when FX movements are driven by interest rate differentials.
• There is no dominant intervention policy; the choice depends on the specific economic context and the type of shock.

Analytical Framework

The document uses a formal model based on BIS Paper No. 499 to analyze the efficiency of FX intervention. It considers three types of agents: fundamentalists, speculators, and the central bank. The model includes the following components:

• Equilibrium exchange rate equation:
  $$
  e_{t} = a_{1} \varepsilon_{t} + a_{2} \varepsilon_{t - 1} + a_{3} \delta_{t} + a_{4} \delta_{t - 1} + a_{5} e_{t - 1}
  $$

• Variables tested:

  • Smoothing FX rate volatility
  • Improving current account variability
  • Limiting speculation activity
  • Reducing international reserves costs
  • Managing the variance of international reserves

• Key formulas are provided in the appendix, which include expressions for variance and covariance of exchange rates, current account, and speculator profits, along with the parameters used in the model.

Key Parameters

Conclusion

• There is no single optimal FX intervention strategy.
• Systematic intervention to stabilize the FX rate can reduce volatility but may encourage speculation.
• The effectiveness of intervention depends on the type of shock and the degree of capital account openness.
• Discretion is often necessary for central banks to manage complex and evolving market conditions.
• The costs of intervention can be significant, especially when driven by interest rate shocks.
• The document emphasizes the need for a flexible and context-dependent approach to FX intervention.

Legal Notice

• This document is non-independent research and is intended as a marketing communication.
• It is not investment research under MiFID II.
• It may contain research content, but only for firms that have signed up for BNPP's research packages or are outside the scope of MiFID II.
• The information is not guaranteed in terms of accuracy, completeness, or fitness for a specific purpose.
• No liability is accepted for any use of the document or its content.
• Indicative prices are provided for informational purposes and are not binding or reflective of actual terms.
• The document may contain back-tested performance data, which is for illustrative purposes only and not indicative of future results.
• Past performance is not indicative of future results.
• The document is subject to change and may be discontinued.
• No advice is given, and recipients are advised to seek independent evaluation of the information.