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Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan

Author

Listed:
  • Fayyaz Hussain

    (State Bank of Pakistan)

  • Abdul Jalil

Abstract

This study addresses the question of whether intervention in foreign exchange market in Pakistan has been successful in either altering the exchange rate level or smoothing the exchange rate fluctuations. We apply GARCH model and the methodology of event study on the daily exchange rate and intervention to address the question. We find the evidence of effectiveness of official intervention on exchange rate level as well as on the variance.

Suggested Citation

  • Fayyaz Hussain & Abdul Jalil, 2007. "Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 3, pages 191-208.
    • Handle: RePEc:sbp:journl:29
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    File URL: http://www.sbp.org.pk/research/bulletin/2007/vol3num2/Effectiveness-of-Foreign-Exchange.pdf
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    References listed on IDEAS

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    Cited by:

    1. Abdul Jalil, 2021. "Don’t Fall in Love with Parity: Understanding Exchange Rate Depreciation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 60(3), pages 359-365.
    2. Fizza Malik, 2016. "Modeling Dynamics of Exchange Rates Volatility: A Case of Pakistan from 1980-2010," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 5(3), pages 144-161, September.

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    More about this item

    Keywords

    Intervention; Exchange Rate; Event Study; GARCH;
    All these keywords.

    JEL classification:

    • 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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