2014年-IMF国际货币组织全球_Motives_and_Effectiveness_of_Forex_Interventions_Evidence_from_Peru_31页_668kb

Summary of "Motives and Effectiveness of Forex Interventions: Evidence from Peru"

Core Content

This paper investigates the motives and effectiveness of foreign exchange (FX) interventions by the Central Reserve Bank of Peru (BCRP) using an empirical approach. It focuses on the asymmetry in the BCRP's response to appreciation and depreciation pressures and the effectiveness of FX purchases and sales in managing exchange rate volatility.

Main Points

• Capital Flows to Peru:

  • Capital inflows have increased significantly in recent years, with net capital flows averaging 8% of GDP from 2010 to 2013.
  • Portfolio and short-term flows are more volatile than FDI and contribute to financial system risks.
  • The BCRP has used FX interventions to manage these inflows, especially during periods of high volatility.

• FX Market and Intervention:

  • The FX market in Peru is primarily an interbank spot market with limited derivatives activity.
  • FX interventions are not pre-announced and occur in the afternoon (after 11:30AM).
  • FX interventions are mostly sterilized through the issuance of local currency securities and other measures.

• Motives for FX Interventions:

  • The BCRP claims its interventions aim to contain exchange rate volatility, but the paper finds evidence of asymmetric motives.
  • FX purchases are more likely to be triggered by exchange rate depreciation pressures, while FX sales are more common during appreciation pressures.
  • The "leansing against the wind" motive is also evident, where the BCRP may act to counteract trends in exchange rates.

• Empirical Approach:

  • The paper uses an Instrumental Variable (IV) method to address simultaneity bias.
  • It estimates the BCRP's reaction function using intra-daily exchange rate data and the timing of FX interventions.
  • The target exchange rate is defined using one-year historical average and standard deviation, with the BCRP intervening when the exchange rate deviates from this range.

• Asymmetry in Interventions:

  • FX sales react more strongly to volatility, suggesting the BCRP is more responsive to depreciation pressures.
  • FX purchases are more associated with exchange rate levels, indicating a focus on appreciation pressures.
  • The paper documents asymmetric effectiveness of interventions, where the impact of FX sales and purchases on exchange rate volatility differs.

• Control Variables:

  • The model includes unexpected economic data announcements (e.g., GDP growth, CPI) and global market volatility (VIX index) as control variables.
  • Regional factors, such as changes in LA6 exchange rates, are also included to capture the influence of commodity prices and regional trends.

Key Findings

• The BCRP's interventions are not solely aimed at reducing volatility but also at leaning against the wind.
• FX sales are more sensitive to volatility, suggesting that the central bank is more concerned with depreciation.
• The reaction function indicates that the BCRP uses historical averages to determine its intervention thresholds.
• The asymmetry in intervention motives and effectiveness is supported by empirical evidence.
• The IV approach helps to isolate the true impact of FX interventions on exchange rates by using predicted intervention likelihoods as instruments.

Methodology Overview

• The paper estimates separate reaction functions for FX purchases and FX sales using probit models.
• Intra-daily exchange rate data is used to capture the timing of interventions and to estimate the reaction function.
• The target range for the exchange rate is defined as the historical average ± 1.5 standard deviations.
• The dependent variables in the second stage regression are the changes in exchange rate levels and volatility between the AM and PM sessions.

Conclusion

The study concludes that the BCRP's FX interventions in Peru are not purely aimed at containing volatility but also at leaning against the wind. The asymmetry in intervention motives and effectiveness is empirically confirmed, with FX sales reacting more to volatility and FX purchases more to exchange rate levels. The paper highlights the importance of understanding the true motives behind FX interventions and the need for more nuanced policy analysis in the context of capital flow volatility.