Foreign exchange intervention effectiveness: a regression discontinuity design

dc.contributorVillamizar Villegas, Mauricio
dc.creatorPinzon Puerto, Freddy Alejandro
dc.date.accessioned2022-08-19T15:58:17Z
dc.date.available2022-08-19T15:58:17Z
dc.date.created2022-08-19T15:58:17Z
dc.identifierhttps://doi.org/10.48713/10336_34731
dc.identifierhttps://repository.urosario.edu.co/handle/10336/34731
dc.description.abstractThis paper examines the effectiveness of the Sterilized Foreign Exchange Intervention in pushing changes in the exchange rate in the expected direction and curbing its volatility. Furthermore, we quantify the extent to which the effects of the intervention announcement differ from the actual intervention. To this end, we employ fuzzy and sharp Regression Discontinuity Designs that take advantage of exogenous variation from a rule-based intervention mechanism from the Central Bank of Colombia (CBoC). Specifically, we compare episodes in which the intervention rule was just missed with episodes in which it was barely triggered, leading to the purchase and sale of dollars. On the one hand, our findings suggest that, on average, 60 million dollar purchases depreciate the exchange rate by 1\% and reduce its volatility by 1.2pp, and these effects last up to 20 days. By comparison, the announcement of purchases has lower effects, which disappear faster. On the other hand, CBoC dollar sales evidence a less consistent impact, indicating that only the intervention announcement is effective. Besides, the appreciation of the peso and the exchange rate volatility reduction appear several days after the intervention announcement.
dc.languageeng
dc.publisherUniversidad del Rosario
dc.publisherFacultad de Economía
dc.publisherMaestría en Economía
dc.rightsinfo:eu-repo/semantics/embargoedAccess
dc.rightsRestringido (Temporalmente bloqueado)
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dc.rightshttp://creativecommons.org/licenses/by-nc-sa/2.5/co/
dc.rightsAtribución-NoComercial-CompartirIgual 2.5 Colombia
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dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.subjectEfectividad de la intervención cambiaria
dc.subjectDiseño de Regresión Discontinua
dc.subjectFuzzy RDD
dc.subjectSharp RDD
dc.subjectTasa de cambio
dc.titleForeign exchange intervention effectiveness: a regression discontinuity design
dc.typebachelorThesis


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