Are FX communications effective? Evidence from emerging markets

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2023-12-14 DOI:10.1016/j.ememar.2023.101091

Julián Parra-Polanía , Andrés Sánchez-Jabba , Miguel Sarmiento

引用次数: 0

Abstract

This paper examines the effects of foreign exchange (FX) communications on FX markets in Colombia and Mexico. Our estimations follow the calendar-time portfolio approach using daily data between 2000 and 2019 on exchange rates and known risk factors. We find an asymmetric effect of such communications: while there is strong evidence indicating that communications aimed at weakening the local currency affect the exchange rate level in the intended direction, there is no evidence of impact when examining communications intended to strengthen it. These results are consistent with fear of appreciation and with previous evidence from developed economies.

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外汇沟通是否有效？新兴市场的证据

本文研究了外汇通信对哥伦比亚和墨西哥外汇市场的影响。我们采用日历时间投资组合方法，利用 2000 年至 2019 年期间有关汇率和已知风险因素的每日数据进行了估计。我们发现了此类沟通的非对称效应：尽管有强有力的证据表明，旨在削弱本币的沟通会按预期方向影响汇率水平，但在研究旨在加强本币的沟通时，却没有证据表明会产生影响。这些结果与对升值的担忧以及发达经济体的以往证据是一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.