Purchase and sale-oriented exchange rate intervention effectiveness carried on by the Central Bank of Guatemala is analyzed through an ACT-GARCH model. By using daily information for the period 1996-2008 it is found that purchase-oriented intervention tends to reduce exchange rate long run...

The paper introduces foreign exchange interventions (FXIs) into a standard New-Keynesian small open economy model. It solves for the optimal FXI policy, suggests an implementable policy rule, and studies the transmission mechanism of FXIs. Relying on the portfolio balance channel, deviations...

The paper introduces foreign exchange interventions (FXIs) into a standard New-Keynesian small open economy model. It solves for the optimal FXI policy, suggests an implementable policy rule, and studies the transmission mechanism of FXIs. Relying on the portfolio balance channel, deviations...

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialised counties has noted the superior performance of the FIGARCH model in the case of industrialised...

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

One of the fascinating aspects of the European debt crisis has been the resilience of the euro. For much of 2011, the euro was a key reserve currency, oblivious to the chaos ravaging European economies. Now, however, the gravity of the crisis is finally dragging down the euro. As the Euro zone...

We model a typical Asian-crisis-economy using dynamic general equilibrium tech-niques. Exchange rates obtain from nontrivial fiat-currencies demands. Sudden stops/bank-panics are possible, and key for evaluating the merits of alternative ex-change rate regimes. Strategic complementarities...

In this paper we show that the Chilean exchange rate has the ability to predict the returns of the London Metal Exchange Index and of the six primary non-ferrous metals that are part of the index: aluminum, copper, lead, nickel, tin and zinc. The economic relationship hinges on the present-value...

This paper attempts to address one major problem with bubble studies: the difficulty to rigorously compare assets bubbles (that is to say compare them via quantitative data, rather than simply anecdotal evidence). The idea of the paper is to use a metric that is not the level of price itself,...