Biblioteca Digital de VanguardiaExchange intervention and determination of the type of change in the short term: the Peruvian evidence
This article explores the main characteristics and stylized facts of the exchange rate behavior in Peru and the Central Bank interventions in the foreign exchange market. In this sense, our aim is to model the monetary authority’s decision of participation in the market, by selling or buying dollars...
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| Formato: | info:eu-repo/semantics/article |
| Lenguaje: | Español |
| Publicado: |
Universidad del Pacífico
2003
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| Acceso en línea: | https://revistas.up.edu.pe/index.php/apuntes/article/view/529 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/52860 |
| _version_ | 1782338762899980288 |
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| author | Shiva Ramayoni, Marco |
| author_facet | Shiva Ramayoni, Marco |
| author_sort | Shiva Ramayoni, Marco |
| collection | Repositorio |
| description | This article explores the main characteristics and stylized facts of the exchange rate behavior in Peru and the Central Bank interventions in the foreign exchange market. In this sense, our aim is to model the monetary authority’s decision of participation in the market, by selling or buying dollars. We also try to determine the relative importance of the set of variables considered as potentially relevant in the price determination process of the dollar. Finally we try to assess the implications of these findings over the financial system performance. Weuse daily data and a new methodology, which allows us to reveal and explore in a better way the short run behavior of the exchange rate in Peru. |
| format | info:eu-repo/semantics/article |
| id | clacso-CLACSO52860 |
| institution | CLACSO, Repositorio Digital |
| language | Español |
| publishDate | 2003 |
| publisher | Universidad del Pacífico |
| record_format | greenstone |
| spelling | clacso-CLACSO528602022-03-17T18:48:01Z Exchange intervention and determination of the type of change in the short term: the Peruvian evidence Intervención cambiaria y determinación del tipo de cambio en el corto plazo: la evidencia peruana Shiva Ramayoni, Marco This article explores the main characteristics and stylized facts of the exchange rate behavior in Peru and the Central Bank interventions in the foreign exchange market. In this sense, our aim is to model the monetary authority’s decision of participation in the market, by selling or buying dollars. We also try to determine the relative importance of the set of variables considered as potentially relevant in the price determination process of the dollar. Finally we try to assess the implications of these findings over the financial system performance. Weuse daily data and a new methodology, which allows us to reveal and explore in a better way the short run behavior of the exchange rate in Peru. Este documento pretende explorar las principales características y hechos estilizados del comportamiento del precio del dólar en el Perú, y de las acciones de intervención del Banco Central en el mercado cambiario. De esta forma, se busca modelar la decisión de la autoridad monetaria de participar vendiendo ocomprando dólares, así como determinar la importancia relativa de las diferentes variables consideradas como potencialmente relevantes en el proceso de formación del precio del dólar. Asimismo, se resaltan las implicancias de estos hallazgos para el comportamiento y desempeño del sistema financiero. A diferencia de estudios previos, la amplitud de la muestra empleada (1997-2004) permite capturar períodos de estabilidad financiera con diferentes grados de influjo de capitales, así como episodios de crisis y de mayor vulnerabilidad financiera. Dicha variabilidad en las condiciones macroeconómicas contribuye a revelar y a explotar, de mejor manera, la microestructura y el funcionamiento de dicho mercado. Asimismo, el empleo de datos de frecuencia diaria permite enfatizar el análisis de corto plazo en la determinación del tipo de cambio. 2003-03-27 2022-03-17T18:48:01Z 2022-03-17T18:48:01Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://revistas.up.edu.pe/index.php/apuntes/article/view/529 10.21678/apuntes.52/53.529 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/52860 spa https://revistas.up.edu.pe/index.php/apuntes/article/view/529/531 Derechos de autor 2017 Apuntes http://creativecommons.org/licenses/by/4.0 application/pdf Universidad del Pacífico Apuntes. Social Sciences Journal; Apuntes 52 - 53; 5-22 Apuntes. Revista de ciencias sociales; Apuntes 52 - 53; 5-22 2223-1757 0252-1865 |
| spellingShingle | Shiva Ramayoni, Marco Exchange intervention and determination of the type of change in the short term: the Peruvian evidence |
| title | Exchange intervention and determination of the type of change in the short term: the Peruvian evidence |
| title_full | Exchange intervention and determination of the type of change in the short term: the Peruvian evidence |
| title_fullStr | Exchange intervention and determination of the type of change in the short term: the Peruvian evidence |
| title_full_unstemmed | Exchange intervention and determination of the type of change in the short term: the Peruvian evidence |
| title_short | Exchange intervention and determination of the type of change in the short term: the Peruvian evidence |
| title_sort | exchange intervention and determination of the type of change in the short term: the peruvian evidence |
| url | https://revistas.up.edu.pe/index.php/apuntes/article/view/529 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/52860 |