Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10295842" target="_blank" >RIV/00216208:11230/13:10295842 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1111/jmcb.12028" target="_blank" >http://dx.doi.org/10.1111/jmcb.12028</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1111/jmcb.12028" target="_blank" >10.1111/jmcb.12028</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?

Popis výsledku v původním jazyce

We employ novel time-stamped reserve sales data, provided by the Czech National Bank (CNB), to carry out a time-series analysis of the exchange rate implications of Czech reserve sales aimed at mitigating valuation losses on Euro-denominated assets. Thesales were explicitly not intended to influence the value of the koruna relative to the euro. The period under study includes a well-defined regime change in the CNB's approach to reserves sales, allowing us to address whether the manner in which the sales are carried out matters for their influence on the relative value of the domestic currency. We find little evidence that reserve sales influence the exchange rate when sales are carried out on a discretionary and relatively infrequent basis. However,when the sales are carried out daily, we find a statistically and economically significant appreciation of the domestic currency follows.

Název v anglickém jazyce

Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?

Popis výsledku anglicky

We employ novel time-stamped reserve sales data, provided by the Czech National Bank (CNB), to carry out a time-series analysis of the exchange rate implications of Czech reserve sales aimed at mitigating valuation losses on Euro-denominated assets. Thesales were explicitly not intended to influence the value of the koruna relative to the euro. The period under study includes a well-defined regime change in the CNB's approach to reserves sales, allowing us to address whether the manner in which the sales are carried out matters for their influence on the relative value of the domestic currency. We find little evidence that reserve sales influence the exchange rate when sales are carried out on a discretionary and relatively infrequent basis. However,when the sales are carried out daily, we find a statistically and economically significant appreciation of the domestic currency follows.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Money, Credit and Banking

ISSN

0022-2879

e-ISSN

—

Svazek periodika

45

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

24

Strana od-do

867-890

Kód UT WoS článku

000321628000005

EID výsledku v databázi Scopus

2-s2.0-84880381743