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Мета-аналіз: ефект fx-інтервенцій на валютний курс

Author

Listed:
  • Соломія Бричка
  • Денис Клиновський
  • Дмитро Круковець
  • Артем Огарков

    (Київська школа економіки)

Abstract

Сьогодні валютні інтервенції (FXI) залишаються одним з найбільш актуальних та популярних інструментів монетарної політики серед центральних банків. Дане дослідження спрямоване на вивчення короткострокового впливу валютних інтервенцій центрального банку на номінальний валютний курс та його волатильність. Робота проведена у формі мета-аналізу та базується на показниках для 8 країн, описаних у 12 наукових роботах з однаковим монетарним режимом. Результати дослідження свідчать про те, що у наукових роботах не досягнуто консенсусу стосовно предмету дослідження. Використовуючи модель випадкових ефектів, автори встановили, що, відповідно до вивчених наукових робіт, валютні інтервенції центрального банку (продаж долару США) в короткостроковій перспективі призводить до зміцнення національної валюти та одночасно підвищує ринкову волатильність. Проте, описані ефекти незначні та близькі до нуля. Достовірність результатів була перевірена на упередженість публікацій за допомогою формальних методів.

Suggested Citation

  • Соломія Бричка & Денис Клиновський & Дмитро Круковець & Артем Огарков, 2019. "Мета-аналіз: ефект fx-інтервенцій на валютний курс," Suchasni ekonomichni doslidzhennja, Kyiv School of Economics, vol. 2(1), pages 24-47.
    • Handle: RePEc:kse:chasop:v:2:y:2019:i:1:p:24-47
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    References listed on IDEAS

    as
    1. Madhusudan Mohanty & Bat-el Berger, 2013. "Central bank views on foreign exchange intervention," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 55-74, Bank for International Settlements.
    2. Ramon Moreno, 2005. "Motives for intervention," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 4-18, Bank for International Settlements.
    3. José Darío Uribe, 2005. "Capital controls and foreign exchange market intervention in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and monetary policy in emerging markets, volume 23, pages 128-40, Bank for International Settlements.
    4. Melesse Tashu, 2014. "Motives and Effectiveness of Forex Interventions: Evidence from Peru," IMF Working Papers 2014/217, International Monetary Fund.
    5. Alan S. Blinder & Michael Ehrmann & Marcel Fratzscher & Jakob De Haan & David-Jan Jansen, 2008. "Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence," Journal of Economic Literature, American Economic Association, vol. 46(4), pages 910-945, December.
    6. José Darío Uribe & Jorge Toro, 2005. "Foreign exchange market intervention in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 139-49, Bank for International Settlements.
    7. Madhusudan Mohanty, 2013. "Market volatility and foreign exchange intervention in EMEs: what has changed?," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 01-10, Bank for International Settlements.
    8. Kathryn M. Dominguez, 1993. "Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?," NBER Working Papers 4532, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    валютні інтервенції; валютний курс; монетарна політика; мета-аналіз;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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