Japanese monetary authorities used to employ various intervention techniques to adjust the level of the dollar/yen exchange rate and reduce its volatility. Application of the GARCH-in- mean model for estimation of the effect of these operations demonstrates that depreciating interventions reduced volatility effectively from 1995 until 2002. Frequent interventions of the small scale had a tendency to increase volatility during period 1991-1995. Foreign exchange interventions conducted by US Fed have increasing, means negative, effect, on the conditional variance. Frequent interventions of the great scale do not affect the volatility; it is determined mostly by the persistent level of the conditional variance from the latter periods. Recent interventions conducted by the Bank of Japan after the financial crisis do not show any considerable effect on both the volatility and the level of the exchange rate.

Recent crisis and economic recession caused in many countries problems with drop in inflation and overall downturn in economic growth. The Central Banks found themselves in so called zero lower bound. This thesis describes the situation of deflation, zero lower bound and liquidity trap. These conditions called for the use of alternative monetary policy tools. The main goal of the thesis is to evaluate the use of foreign exchange rate intervention as unconventional tool in a small open economy with inflation targeting regime represented by the Czech Republic in the analytic part. Thesis examines other non-standard instruments and provides reasons for the Czech National Bank decision. The analysis shows the complexity of the issue and provides the evidence that exchange rate commitment was not displayed to the desired price level. The tool could lead to expected repercussion, but the effect is impacted by factors, which Central Bank cannot control. The effect of the CB way to fight the decreasing inflation will be better shown after the CB exit from the commitment.

Submitted by Cassius Figueiredo (cassius.figueiredo@fgvmail.br) on 2015-10-02T14:14:49Z No. of bitstreams: 1 Dissertação_Cassius_Figueiredo.pdf: 1419517 bytes, checksum: 0bc08a99261a6abda6c7592ca62cddaa (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2015-10-06T13:08:24Z (GMT) No. of bitstreams: 1 Dissertação_Cassius_Figueiredo.pdf: 1419517 bytes, checksum: 0bc08a99261a6abda6c7592ca62cddaa (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-10-13T13:12:20Z (GMT) No. of bitstreams: 1 Dissertação_Cassius_Figueiredo.pdf: 1419517 bytes, checksum: 0bc08a99261a6abda6c7592ca62cddaa (MD5) / Made available in DSpace on 2015-10-13T13:12:33Z (GMT). No. of bitstreams: 1 Dissertação_Cassius_Figueiredo.pdf: 1419517 bytes, checksum: 0bc08a99261a6abda6c7592ca62cddaa (MD5) Previous issue date: 2015-08-31 / A common scenario in countries with inflation targeting regimes is Central Bank intervention in exchange market to keep volatility under control. Those interventions are commom in developing countries. In Brazil interventions are mostly done through spot market, derivatives market (exchange rate swaps) and also through forward market operations, liquidity and borrowing lines. Due to low volumes related to the last three, we kept our efforts concentrated in interventions through spot and derivatives markets. There are several articles discussing how successful those interventions are but only a few evaluating which factors may lead Central Bank of Brazil to an intervention. We try to fill this gap using two different techniques: the ever present logistic regression and a new approach (as fas as we know) using artificial neural networks. In parallel we will try to define if there are specific factors affecting different scenarios of intervention. The dataset goes from 2005 to 2012, period where Central Bank of Brazil has been intervening based on market demand and not in a standardized way for longer periods of time. Our results show that there may be factors more relevant to one of the intervention decisions (buying or selling dollars) and we can highlight the relevance of exchange rate volatility, particularly in interventions where Central Bank of Brazil is buying dollars. This result is fully aligned with other papers on the subject. / Em economias com regimes de metas de inflação é comum que Bancos Centrais intervenham para reduzir os níveis de volatilidade do dólar, sendo estas intervenções mais comuns em países não desenvolvidos. No caso do Brasil, estas intervenções acontecem diretamente no mercado à vista, via mercado de derivativos (através de swaps cambiais) ou ainda com operações a termo, linhas de liquidez e via empréstimos. Neste trabalho mantemos o foco nas intervenções no mercado à vista e de derivativos pois estas representam o maior volume financeiro relacionado à este tipo de atuação oficial. Existem diversos trabalhos que avaliam o impacto das intervenções e seus graus de sucesso ou fracasso mas relativamente poucos que abordam o que levaria o Banco Central do Brasil (BCB) a intervir no mercado. Tentamos preencher esta lacuna avaliando as variáveis que podem se relacionar às intervenções do BCB no mercado de câmbio e adicionalmente verificando se essas variáveis se relacionam diferentemente com as intervenções de venda e compra de dólares. Para tal, além de utilizarmos regressões logísticas, como na maioria dos trabalhos sobre o tema, empregamos também a técnica de redes neurais, até onde sabemos inédita para o assunto. O período de estudo vai de 2005 a 2012, onde o BCB interveio no mercado de câmbio sob demanda e não de forma continuada por longos períodos de tempo, como nos anos mais recentes. Os resultados indicam que algumas variáveis são mais relevantes para o processo de intervenção vendendo ou comprando dólares, com destaque para a volatilidade implícita do câmbio nas intervenções que envolvem venda de dólares, resultado este alinhado com outros trabalhos sobre o tema.

The current Peruvian exchange regime is neither pegged nor free-floating. The Peruvian Central Bank sails against the wind in the exchange market, tending to buy dollars when the exchange rate falls, and tending to sell when the exchange rate rises. It is a dirty float regime.  In this paper we present a simple macroeconomic model where the central bank fixes the interest rate and maintains a dirty floating exchange rate regime, assuming a small, open, and partiallydollarized economy that exports raw materials, faces imperfect capital mobility, and has a structural fiscal deficit limit as a rule for its fiscal policy. The predictions of the model are consistent with the rule of foreign exchange intervention by the Central Bank and the main stylized facts of the Peruvian economy since the decline in the international price of raw materials in late 2011: drastic fall in private investment, decline of GDP growth, rising nominal exchange rate and reduction of international reserves. / El régimen de tipo de cambio en el Perú no es fijo ni flotante. El Banco Central de Reserva del Perú (BCRP) rema en contra de la corriente en el mercado cambiario. Tiende a comprar dólares cuando el tipo de cambio baja, y tiende a vender cuando el tipo de cambio sube. Es un esquema de flotación sucia. En este artículo se presenta un modelo macroeconómico sencillo donde el banco central fija la tasa de interés y mantiene un régimen cambiario de flotación sucia, en el contexto de una economía pequeña, abierta, parcialmente dolarizada, exportadora de materias primas, con movilidad imperfecta de capitales y una política fiscal que opera con un límite al déficit fiscal estructural. Las predicciones del modelo son consistentes con la regla de intervención del BCRP y los principales hechos estilizados de la economía peruana desde el inicio del descenso del precio internacional de las materias primas a fines de 2011: caída drástica de la inversión privada, descenso del crecimiento del PBI, alza del tipo de cambio nominal y reducción de las reservas internacionales.

本研究以日本央行干預日圓匯率對新台幣匯率的波及效果為研究主題，選擇樣本期間為1999年1月5日至2003年12月31日之日資料做實證分析。本研究選擇日本央行干預外滙的貨幣數量、新台幣與日圓間前一日及前二日的匯率變動率、日本國定假日及日本重大經濟政策訊息為自變數，分析對因變數，也就是新台幣與日圓間匯率變動率有何影響。我們分別採用最小平方法(OLS)迴歸分析與一般化自我迴歸條件異質變異數GARCH(1,1)模型來進行分析，並發現GARCH(1,1)模型在估計上優於最小平方法(OLS) 迴歸分析；另外我們的結果也證實日本央行干預日圓與美元間匯率，在日圓外匯市場大量購買外匯，確實會對新台幣與日圓間匯率變動率造成影響，亦其的確對新台幣與日圓間匯率變動程度有波及效果。 一直以來，國內有關央行干預行為的文獻中，大多探討台灣中央銀行的干預行為，對新台幣與美元間匯率變動的影響，較少有文獻在討論當日本央行透過干預日圓外匯市場，意圖使日圓相對於美元貶值時，新台幣與日圓間匯率的變動程度會因此受到波及。而本文實證研究發現，日本央行在干預日圓匯率時，的確會對新台幣與日圓間的匯率變動率造成影響，也就是說，日本中央銀行干預日圓匯率對新台幣匯率的波及效果是存在的，這對未來在估計新台幣與日圓間匯率變動時，將更能精確的估計新台幣與日圓間匯率變動的程度。 關鍵詞:匯率干預(exchange rate intervention)、日本央行(Japan Central Bank)、 最小平方法(OLS)、一般化自我迴歸條件異質變異數(GARCH)