University of Alberta
School of Business
Canada T6G 2R6
NBER Working Papers and Publications
|June 2010||Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?|
with Kathryn M.E. Dominguez, Pavel Vacek: w16044
Many developing countries have increased their foreign reserve stocks dramatically in recent years, often motivated by the desire for precautionary self-insurance. One of the negative consequences of large accumulations for these countries is the risk of valuation losses. In this paper we examine the implications of systematic reserve decumulation by the Czech authorities aimed at mitigating valuation losses on euro-denominated assets. The policy was explicitly not intended to influence the value of the koruna relative to the euro. Initially the timing and size of reserve sales was not predictable, eventually sales occurred on a daily basis (in three equal installments within the day). This project examines whether these reserve sales, both during the regime of discretionary timing as we...
Published: “Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?” with Rasmus Fatum and Pavel Vacek, Journal of Money, Credit and Banking , vol. 45, 5, 2013, 867 ‐ 890.
|April 2003||Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan|
with Michael Hutchison: w9648
Japanese official intervention in the foreign exchange market is of by far the largest magnitude in the world, despite little or no evidence that it is effective in moving exchange rates. This paper investigates the effectiveness of intervention using recently published Japanese official daily data and an event study methodology. Focusing on daily Japanese and US official intervention operations, we identify separate intervention episodes' and analyze the subsequent effect on the exchange rate. Using the non-parametric sign test and matched-sample test, we find strong evidence that sterilized intervention systemically affects the exchange rate in the short-run (less than one month). This result holds even when intervention is not associated with (simultaneous) interest rate changes, whethe...