Determinants and effectiveness of foreign exchange market intervention in Georgia

0364281 - NHU-C 2012 RIV US eng J - Článek v odborném periodiku
Loiseau-Aslanidi, Olga
Determinants and effectiveness of foreign exchange market intervention in Georgia.
Emerging Markets Finance and Trade. Roč. 47, č. 4 (2011), s. 75-95. ISSN 1540-496X. E-ISSN 1558-0938
Grant CEP: GA MŠMT LC542
Grant ostatní: UK(CZ) GAUK 259027
Výzkumný záměr: CEZ:MSM0021620846
Klíčová slova: determinants of intervention * effectiveness of intervention * foreign exchange intervention
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.953, rok: 2011

This paper uses unique daily data to study the determinants and the effectiveness of partially sterilized intervention by the National Bank of Georgia (NBG) during the period 1996-2007. Detected structural breaks in the exchange rate and the intervention series are important for NBG intervention motives and effectiveness. The central bank reaction functions indicate that the NBG leans against the wind while smoothing the exchange rate. The intended effect on the level of the exchange rate is observed the day after intervention is conducted. However, the conditional volatility increases with intervention.
Trvalý link: http://hdl.handle.net/11104/0199804