Examining psychological barriers in exchange rates across various regimes and FX intervention

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-01-09 DOI:10.1016/j.jbef.2025.101020

Mark J. Holmes , Ana María Iregui , Jesús Otero

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引用次数: 0

Abstract

This paper applies econometric techniques to explore the possibility of psychological barriers in exchange rate dynamics over different types of exchange arrangements. By analysing over fifty years of daily data for the Colombian peso-dollar exchange rate, we substantiate the presence of hypothesised barriers related to rounded digits, including 1000, 2000, etc., in the thousands of pesos per dollar range. Similarly, barriers are observed in relation to hundreds of pesos per dollar at digits such as 100, 200, etc. Additionally, barriers emerge in terms of tens of pesos per dollar at levels such as 110, 120, etc. However, much depends on the exchange rate regime present. Further results show that the behaviour of exchange rate returns differs both before and after breaches of hypothesised barriers, and it is possible to identify episodes where central bank foreign exchange (FX) interventions can make a difference to the behaviour of exchange rate returns and volatility at the barriers.

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考察不同制度下汇率的心理障碍和外汇干预

本文运用计量经济学方法探讨了在不同类型的汇率安排中，汇率动态中存在心理障碍的可能性。通过分析哥伦比亚比索兑美元汇率超过50年的每日数据，我们证实了与四舍五入数字相关的假设障碍的存在，包括1000、2000等，在数千比索/美元的范围内。同样，在以100、200等数字表示的数百比索兑换1美元时也存在障碍。此外，在110、120等水平上，出现了数十比索兑换1美元的障碍。然而，这在很大程度上取决于当前的汇率机制。进一步的结果表明，在突破假设障碍之前和之后，汇率回报的行为都是不同的，并且有可能确定中央银行外汇（FX）干预可以对汇率回报和波动率的行为产生影响的事件。

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

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.