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Modelo de intervención cambiaria para el caso venezolano
[Exchange intervention model for Venezuelan]

Author

Listed:
  • Pedauga Sánchez, Luis Enrique

Abstract

This paper intends to present a methodology that foresees anticipated signal of intervention in the foreign exchange market, related to the levels in the nominal exchange rate volatility observed during the Exchange Rate Flotation Scheme in force between February of 2002 and January of 2003. For reaching this goal, it is used the Value at Risk concept and the Conditional Heteroskedasticity Model GARCH (1,1). This model defines exchange rate fluctuations that are not associated with the macroeconomic fundamentals and would require the intervention in the foreign exchange market by the monetary authority.

Suggested Citation

  • Pedauga Sánchez, Luis Enrique, 2003. "Modelo de intervención cambiaria para el caso venezolano [Exchange intervention model for Venezuelan]," MPRA Paper 35407, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:35407
    as

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    File URL: https://mpra.ub.uni-muenchen.de/35407/1/MPRA_paper_35407.pdf
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    References listed on IDEAS

    as
    1. Christian A.Johnson, 2001. "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
    2. Johnson, Christian A., 2001. "Un modelo de intervención cambiaria," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(271), pages 339-367, julio-sep.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Iván Giner & Omar Mendoza, 2005. "Foreign exchange intervention in Venezuela," BIS Papers chapters, in: Bank for International Settlements (ed.), Foreign exchange market intervention in emerging markets: motives, techniques and implications, volume 24, pages 292-300, Bank for International Settlements.

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    More about this item

    Keywords

    Forex exchange; GARCH; Volatility; Intervention;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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