Citas bibligráficas
Fernandez, A., Arista, K. (2023). Análisis del impacto de las intervenciones cambiarias sobre la volatilidad del tipo de cambio en el Perú [Trabajo de Suficiencia Profesional, Universidad Peruana de Ciencias Aplicadas (UPC)]. http://hdl.handle.net/10757/671942
Fernandez, A., Arista, K. Análisis del impacto de las intervenciones cambiarias sobre la volatilidad del tipo de cambio en el Perú [Trabajo de Suficiencia Profesional]. PE: Universidad Peruana de Ciencias Aplicadas (UPC); 2023. http://hdl.handle.net/10757/671942
@misc{renati/413444,
title = "Análisis del impacto de las intervenciones cambiarias sobre la volatilidad del tipo de cambio en el Perú",
author = "Arista Correa, Kevin Jose",
publisher = "Universidad Peruana de Ciencias Aplicadas (UPC)",
year = "2023"
}
The present research work evaluates the effect of the exchange interventions carried out by the Central Reserve Bank of Peru on the volatility of the exchange rate, and whether the impact of the interventions has remained constant over time, or if it has rather varied between 2008 and 2019. The literature on the topic is not in consensus, given that although some studies prove that exchange rate interventions have a reducing effect on exchange rate volatility, other research shows little statistical evidence of this effect. The present investigation seeks to argue that there is sufficient statistical evidence to characterize the impact of BCRP interventions as changing over time. Markov switching modeling, where the estimators change depending on the state of the economy, and taking Friedman's plucking model as inspiration, serves this purpose well. From this modeling, we find evidence that the peruvian sol/dollar exchange rate rarely falls below its trend, and that it is occasionally driven upward by transitory shocks. This asymmetry suggests that the monetary authority intervenes unofficially in the currency market to support its own target level that is not officially published.
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