Back Matter

Back Matter New

Author(s):
Marcos Chamon, David Hofman, Nicolas Magud, and Alejandro Werner
Published Date:
February 2019
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Index

A

  • Abiad, Abdul, 13

  • Acosta, Jaime, 5

  • Adequacy of reserves accumulation (ARA), 11f, 15

  • Adler, Gustavo, 44, 46, 52–53, 56–57, 58, 251, 265, 266, 266n18, 266n21

  • Advanced economies

    • emerging markets and, 250

    • flexible exchange rates in, v

    • floating exchange rate of, 16

    • global financial crisis and, 1

    • portfolio balance in, 10

  • Akaike and Schwartz information criteria, 284

  • Andrade, Sandro C, 54, 55, 109

  • Annual Report on Exchange

  • Arrangements and Exchange Restrictions (AREAR), of IMF, 25–26, 27t–28t, 161n5

  • Appreciation

    • in Chile, 121

    • in Colombia, 135

    • endogeneity problem and, 44

    • inflation targeting and, 84

    • in Peru, 239t

  • ARA. See Adequacy of reserves accumulation

  • Arbitrage

    • CIP and, 66, 67, 68, 70n7

    • UIP and, 11

  • Archer, David, 23

  • AREAER. See Annual Report on Exchange Arrangements and Exchange Restrictions

  • Argentina

    • currency crisis in, 16

    • debt crisis in, 35, 97, 119

    • Uruguay and, 250n1, 252, 260

  • Armas, Adrian, 5

  • Asian financial crisis

    • Brazil and, 95

    • Chile and, 116

    • international reserves accumulation in, 12

  • Asset and Liability Management Division, at Central Bank of Costa Rica, 168

  • Assets

    • in portfolio balance, 10

    • prices, 12

  • Australia, Reserve Bank of, 65

B

  • Balance of payments

    • equilibrium, 12

    • forward market interventions and, 69, 71f

    • in Uruguay, 250n1

  • Banco de la República. See Colombia

  • Bank for International Settlements (BIS)

    • on Chile, 122, 128, 133

    • on transparency, 24n1

  • Bank of Canada, 25

  • Bank of England, 25, 250

  • Bank of Japan, 25, 250

  • Bank of Mexico, 5, 196

    • foreign exchange sales by, 221

    • transparency of, 223–24

    • US dollar and, 204, 208

  • Bank of the Republic. See Colombia

  • Barón, Andrea, 254

  • Barro, Robert J., 28

  • Barroso, João Barrata R. B., 3–4, 46, 54, 99, 101, 108

  • Basic spread

    • for CIP, 66n4

    • regression for, 76f

  • BCDs. See Dollar-denominated bonds

  • Benes, Jaromir, 10

  • Berganza, J. Carlos, 53

  • Bergara, Mario, 254, 255

  • Berkmen, Pelin, 13»7

  • Bid-ask spread, 142n14

    • in Mexico, 215–17, 216f, 217t

  • BIS. See Bank for International Settlements

  • Blanchard, Olivier, 13n7, 44

  • Bloomberg Finance L.P., 261

  • Branson, William H., 246n1

  • Brazil

    • capital controls in, 57

    • capital inflows in, 65, 98

    • crawling peg in, 95–97

    • currency crisis in, 16

    • de facto exchange rates in, 96t

    • derivatives markets in, 35

    • discretionary interventions in, 56, 97

    • dollarization in, 88, 88f

    • endogeneity problem in, 108

    • exchange rate in, 46, 94–100, 96f, 96t, 108–11, 110f

    • exchange rate volatility in, 53, 108

    • floating exchange rate in, 97, 100–108

    • foreign exchange intervention in, 93–112, 110f

    • foreign exchange sales and purchases in, 54, 65

    • forward market interventions in, 72–73, 73f

    • free-floating exchange rate in, 95

    • global financial crisis and, 35, 98, 104–6, 105f

    • hedging in, 3–4, 36

    • inflation targeting in, 84, 97

    • international reserves in, 98–99, 102–4, 104f

    • IVs in, 109

    • managed float in, 93–99, 96t

    • monetary policy in, 106

    • over-the-counter market in, 103

    • pegs in, 95, 97

    • preannounced interventions in, 56, 108–9

    • repos in, 3, 35

    • rules-based interventions in, 30

    • spot markets in, 109

    • swaps in, 17n12, 35–36, 97, 106–9

    • taper tantrum and, 106–8

    • transparency in, 25

    • US dollar and, 35–36, 65, 97, 98. See also Central Bank of Brazil

  • Bretton Woods, v

  • Broto, Carmen, 53–54

  • Bucacos, Elizabeth, 5–8

  • Burstein, Ariel, 100n9

c

  • CA. See Current account

  • Call options, 49t

    • in Colombia, 141, 141t, 148

  • Calvo, Guillermo, 28, 197, 209, 218, 219, 222f

  • Canada, Bank of, 25

  • Canales-Kriljenko, Jorge Ivan, 23

  • Cano, Rodrigo, 5

  • Capital controls, 56–57

  • Capital flows

    • in Colombia, 135

    • forward market interventions and, 68

    • shocks and, 18–19

    • UIP and, 11

    • in Uruguay, 250

  • Capital inflows

    • in Brazil, 65, 98

    • in Chile, 116

    • commodity super cycle and, 1

    • current account deficit and, 12n5

    • forward market interventions and, 71, 72n9

    • in Peru, 232

    • in Uruguay, 254, 260

  • Capital outflows

    • shocks and, 18

    • transparency of, 24–25

  • Cardozo, Pamela, 4

  • Cavallino, Paolo, 10, 227

  • Central Bank of Brazil, 35

    • forward market interventions by, 63, 65

    • in global financial crisis, 104–6, 105f

    • hedging by, 3–4

  • Central Bank of Chile. See Chile

  • Central Bank of Costa Rica, 156, 157, 160, 185

    • decision-making process of, 168–69, 169f

  • Central Bank of Paraguay, 40

  • Central Bank of Uruguay, 5, 249, 261

    • monetary policy of, 258–61

  • Central banks

    • fixed exchange rates and, 3

    • forward market interventions by, 63–77, 67f

    • inflation targeting by, v, 1, 3, 30, 80–83, 81f, 82f

      • international reserves accumulation by, 12–16, 15f

    • reaction function, 266, 269t

    • transparency of, 23–26. See also specific topics

  • Central Reserve Bank of Peru, 5, 39–40, 53n2, 228, 240, 243

    • certificates of deposit of, 244–45

    • hedging by, 234

    • inflation targeting by, 232–33

  • Certificates of deposit

    • in Peru, 39, 243–45

    • in Uruguay, 282t

  • Chamon, Marcos, 2, 3, 11, 53, 54, 56, 66, 109

  • Chang, Roberto, 10n4

  • Chile

    • appreciation in, 121

    • capital inflows in, 116

    • Codelco in, 30

    • commodity prices in, 58, 121

    • crawling peg in, 115, 116

    • depreciation in, 119, 120

    • dollarization in, 88, 88f

    • exchange rate in, 4, 46, 122–33, 123f, 124f, 125t–126t, 129f, 131t–133t

    • floating exchange rate in, 119

    • foreign currency liquidity in, 4

    • foreign exchange intervention in, 37, 115–35

    • foreign exchange purchases in, 54, 130–33, 131t–133t

    • foreign exchange sales in, 54, 120

    • free-floating exchange rate in, 134

    • hedging in, 30

    • inflation targeting in, 115–19, 117f, 118f

    • international reserves in, 117, 121, 122

    • nominal exchange rate in, 115, 116, 123

    • preannounced versus discretionary interventions in, 56

    • reserves-to-GDP ratio in, 14, 30, 117, 118f, 121

    • spot markets in, 120

    • swaps in, 122

    • transparency in, 133–34

    • US dollar and, 4, 37

  • Chiu, Priscilla, 223

  • Choleski factorization, 262, 268, 280f–282f

  • Chutasripanich, Nuttathum, 223

  • CIP. See Covered interest parity

  • Codelco, 30

  • Code of Good Practices, of IMF, 24n1

  • Colombia

    • appreciation in, 135

    • call options in, 141, 141t, 148

    • capital controls in, 57

    • capital flows in, 135

    • crawling band in, 156

    • depreciation in, 4, 38

    • discretionary interventions in, 4, 142–43

    • dollarization in, 88, 88f

    • exchange rate after intervention in, 46

    • exchange rate volatility in, 53, 139–42, 141t

    • financial stability in, 148

    • flexible exchange rate in, 37, 135, 137

    • floating exchange rate in, 37–38

    • foreign exchange intervention in, 4, 37–38, 37t, 137–52, 140f

    • foreign exchange liquidity in, 138

    • foreign exchange purchases in, 54, 146–47

    • foreign exchange sales in, 54, 148–49, 148f

    • government bonds in, 144–45

    • hedging in, 135

    • inflation targeting in, 138

    • international reserves in, 4, 135, 146, 146n26, 147f

    • policy rate in, 152

    • preannounced versus discretionary interventions in, 56

    • put options in, 139–42, 141f, 152

    • reserves-to-GDP ratio in, 146–47

    • rules-based interventions in, 38

    • spot markets in, 143–44

    • sterilization interventions in, 138, 144–46, 145f, 150t–151t

    • US dollar and, 37t, 138, 141, 148–49

  • Commodity prices

    • in Chile, 58, 121

    • in Peru, 231

    • shocks, 68

    • in Uruguay, 252

  • Commodity super cycle, 1

  • Communication. See Transparency

  • Consumer price index (CPI)

    • in Costa Rica, 158f, 161f

    • in Uruguay, 254

  • Contreras, Gabriela, 122

  • Convertibility risk, in Brazil, 97, 99

  • Costa Rica

    • CPI in, 158f, 161f

    • crawling band in, 159–60, 159n3, 160f, 169n11

    • crawling peg in, 155–58

    • depreciation in, 180–81, 197–98

    • discretionary interventions in, 5

    • dollarization in, 87, 159, 159n4, 162f, 192

    • endogeneity problem in, 178–80

    • event analysis for, 182–83, 185–86

    • exchange rate in, 157–61, 161f

    • exchange rate volatility in, 187f, 184, 185, 186–90, 186t–190t

    • financial stability in, 4, 174, 191

    • fixed exchange rates in, 157

    • flexible exchange rates in, 159

    • floating currency in, 4

    • floating exchange rate in, 155–92

    • foreign exchange intervention in, 155–92, 185t

    • foreign exchange purchases in, 180, 185t

    • foreign exchange sales in, 180, 185t

    • fundamentals in, 180

    • global financial crisis and, 159

    • inflation targeting in, 156, 161, 163f

    • interday rule in, 175–76

    • international reserves in, 156, 170–71, 170f, 170t, 172f, 173f

    • intraday rule in, 175

    • leaning against the wind in, 4, 156

    • managed float in, 160–61, 161f, 162f,

    • 177

    • monetary policy in, 159–60

    • MONEX in, 164–68, 164n9, 165t,

    • 166f, 171–73, 175, 178, 191, 197, 197f

    • nominal exchange rate in, 155, 157, 158f

    • nonfinancial public sector in, 171–73, 174f

    • OLS in, 184

    • over-the-counter markets in, 163–64, 164f

    • pegs in, 159

    • policy rate in, 159

    • portfolio balance in, 178

    • price stability in, 174–75

    • regression analysis for, 184, 186–90, 187f, 187t–190t

    • rules-based interventions in, 156, 175–86

    • spot markets in, 4, 156

    • transparency in, 177–78

    • US dollar and, 4, 157, 159. See also Central Bank of Costa Rica

  • Counterfactual, 71, 97n5, 109, 195, 215

  • Covered interest parity (CIP)

    • arbitrage and, 66, 67, 68, 70n7

    • basic spread for, 66n4

    • Brazil and, 65

    • forward market interventions and, 63–64, 70

    • Korea and, 65–66

    • spot market interventions and, 70

  • CPI. See Consumer price index

  • Crawling band

    • in Colombia, 156

    • in Costa Rica, 159–60, 159n3, 160f, 169n11

    • IMF on, 161n5

  • Crawling peg

    • in Brazil, 95–97

    • in Chile, 115, 116

    • in Costa Rica, 155–58

    • for disinflation, 83n4

    • in Mexico, 196

  • Cubero, Rodrigo, 4–5

  • Currency crises, 16

    • international reserves and, 13

  • Currency mismatches

    • exchange rate and, 17

    • financial stability and, 30

    • inflation targeting and, 3, 86–87

    • in Peru, 229, 234

    • in Uruguay, 252–53, 260

  • Current account (CA)

    • deficit, capital inflows and, 12n5

    • forward market interventions and, 68

    • spot exchange rate and, 71

  • Current-account-to-GDP balance, 13n8

  • Czech National Bank, 83

D

  • Das, Mitali, 13n7

  • DATATEC, 241

  • Daude, Christian, 122, 228

  • Debt crisis, in Argentina, 35

  • de Carvalho Filho, E., 44

  • De facto exchange rates

    • in Brazil, 96t

    • IMF on, 161, 162t

  • de Moraes Attuy, Guilherme, 53

  • Depreciation

    • after Asian financial crisis, 116

    • in Brazil, 98

    • in Colombia, 4, 38

    • in Costa Rica, 180–81, 197–98

    • in emerging markets, 100n9, 101

    • endogeneity problem and, 44

    • fundamentals and, 16

    • inflation targeting and, 3, 84

    • international reserves and, 14n9

    • in Mexico, 199, 209

    • in Peru, 229, 231, 232, 236, 238, 239t

    • shocks and, 18

    • in Uruguay, 250n1

    • of US dollar, 121

  • Derivatives markets

    • in Brazil, 35

    • Central Bank of Brazil and, 3

    • foreign exchange intervention in, 3

    • spot markets versus, 31–33, 31t–33t, 34f, 36f, 55–56

  • Direct interventions, in Uruguay, 265, 274

  • Discretionary interventions, 3

    • in Brazil, 97

    • in Colombia, 4, 142–43

    • in Costa Rica, 5

    • in Paraguay, 40

    • in Peru, 228, 243

    • preannounced interventions versus, 56

    • rules-based interventions versus, 26–30

    • transparency in, 25

  • Disinflation, crawling peg for, 83n4

      • Dollar-denominated bonds (BCDs), 118, 120, 130

  • Dollarization, 2, 5, 88, 88f

    • in Costa Rica, 159, 159n4, 162f, 192

    • inflation targeting and, 87

    • in Peru, 227–46, 230f

    • policy rate and, 161n6

    • in Uruguay, 253, 254n2

  • Domaç, Ilker, 53, 55

  • Dominguez, Kathryn M., 23

  • Dominican Republic, 88

  • Dornbusch, Rudiger, 9, 236

  • Druck, Pablo, 267n25

  • Dutch disease, 18

E

  • Early-warning-model, in emerging markets, 13

  • ECB. See European Central Bank

  • Echavarría, Juan J., 54, 55–56, 149

  • Eichenbaum, Martin, 100n9

  • Electronic Stock Exchange, 261

  • El Niño, 231

  • Emerging Market Bond Index (EMBI), 252f, 261, 267

  • Emerging markets

    • advanced economies and, 250

    • depreciation in, 100n9, 101

    • early-warning-model in, 13

    • fixed exchange rates in, v

    • portfolio balance in, 10

    • transparency in, 25

  • Endogeneity problem

    • in Brazil, 108

    • in Costa Rica, 178–80

    • in foreign exchange intervention, 44–45, 108

    • in Uruguay, 265–66

  • England, Bank of, 25, 250

  • Equilibrium exchange rate, 17

    • long-term, 67, 67n5

    • shocks and, 18

  • Equilibrium selection channel, in Mexico, 206

  • Espinoza, Julio César, 181

  • European Central Bank (ECB), 25

    • Uruguay and, 250

  • European financial crisis

    • Mexico and, 201

    • Uruguay and, 260

  • Evans, Martin, 100

  • Event analysis, for Costa Rica, 182–83, 185–86

  • Excess demand, 12

    • Central Bank of Brazil and, 3–4

  • Excess supply, 12

  • Exchange forwards settlements, in Uruguay, 274

  • Exchange rate

    • in Brazil, 94–100, 96f, 96t, 108–11, 110f

    • in Chile, 4, 122–33, 123f, 124f, 125t–126t, 129f, 131t–133t

    • in Colombia, 4

    • in Costa Rica, 157–61, 161f

    • currency mismatches and, 17

    • financial stability and, 3, 16–17

    • foreign exchange intervention and, 3, 46–52, 47t–52t, 108–11

    • forward market interventions and, 70

    • inflation pass-through and, 17–18

    • inflation targeting and, v, 3, 80–83, 81f, 82f

    • in Mexico, 197f, 201, 207–9, 209f, 210f

    • monetary policy for, 142n15

    • in order-flow channel, 10n3

    • in Peru, 229, 230f, 231

    • portfolio balance and, 10

    • after shocks, 53

    • signaling channels and, 10

    • spot market interventions and, 70

    • UIP and, 12

    • in Uruguay, 251. See also specific types; specific types and topics

  • Exchange rate volatility, 2

    • in Brazil, 108

    • in Colombia, 139–42, 141t

    • in Costa Rica, 184, 185, 186–90, 186t–190t, 187f

    • after foreign exchange intervention, 52–54

    • in Guatemala, 38

    • inflation targeting and, 86

    • Kolmogorov-Smirnov Test for, 215, 217t

    • in Mexico, 5, 208, 213, 214f, 215, 217t

    • micro-structure channel and, 10n1

    • in Peru, 5, 53n2, 228, 233–34, 238, 241

    • in Uruguay, 5

  • Export prefinancing, in Uruguay, 251, 268–69, 274

F

  • Fanelli, Sebastian, 227

  • Faruqee, Hamid, 13n7

  • Fatum, Rasmus, 182

  • Federal Reserve, US

    • Brazil and, 98, 99

    • Mexico and, 204

    • quantitative easing by, 98, 99

    • swaps by, 105

    • transparency in, 25

    • Uruguay and, 250. See also Taper tantrum

  • Financial openness, 56–57

  • Financial stability

    • in Colombia, 148

    • in Costa Rica, 4, 174, 191

    • currency mismatch and, 30

    • exchange rate and, 3, 16–17

    • international reserves for, 148

    • in Peru, 231

    • in Uruguay, 254, 260

  • First-generation currency crisis, 13

  • Fiscal Responsibility Law, in Brazil, 35

  • Fisher’s open parity, 262

  • Fixed exchange rates

    • central banks and, 3

    • in Costa Rica, 157

    • in emerging markets, v

  • Fleming, J. Marcus, 9

  • Flexible Credit Line facility, of IMF, 223

  • Flexible exchange rates

    • in advanced economies, v

    • in Colombia, 37, 135, 137

    • in Costa Rica, 159

    • in Peru, 234–35

  • Floating currency

    • in Costa Rica, 4

    • in Uruguay, 250

  • Floating exchange rate

    • of advanced economies, 16

    • in Brazil, 97, 100–108

    • in Chile, 119

    • in Colombia, 37–38

    • in Costa Rica, 155–92

      • foreign exchange intervention for, 142n16

    • leaning against the wind and, 108

    • in Uruguay, 249. See also Free-floating exchange rate; Managed float

  • Flores, Miguel, 240

  • Foreign currency liquidity

    • in Chile, 4

    • in Uruguay, 260

  • Foreign direct investment, 68

    • to Uruguay, 260

  • Foreign Exchange Commission (FX Commission), 196–97, 196n1, 202

    • transparency of, 223–24

    • US dollar and, 208, 221

  • Foreign exchange intervention

    • in Brazil, 35–36, 93–112, 110f

    • capital controls and, 56–57

    • in Chile, 37, 115–35

    • in Colombia, 4, 37–38, 37t, 137–52, 140f

    • in Costa Rica, 155–92, 182t, 185t

    • duration of effects of, 54

    • effectiveness of, 3, 43–59, 59f

    • endogeneity problem in, 44–45, 108

    • exchange rate and, 3, 46–52, 47t–52t, 108–11

    • exchange rate volatility after, 52–54

    • financial openness and, 56–57

    • for floating exchange rate, 142n16

    • in Guatemala, 38

    • market conditions and, 57–58

    • in Mexico, 38–39, 38t, 195–224

    • monetary policy and, 106

    • in Paraguay, 40

    • persistence of, 45

    • in Peru, 39–40, 227–46, 232t, 242t

    • taxonomy of, 2–3, 23–41

    • transparency in, 23–26, 24n1

    • in Uruguay, 249–72, 270t, 282t. See also specific types and topics

  • Foreign exchange liquidity

    • in Colombia, 138

    • in Mexico, 213–15

    • in Peru, 229

    • spot markets and, 1

  • Foreign exchange purchases

    • in Chile, 130–33, 131t–133t

    • in Colombia, 146–47

    • in Costa Rica, 180, 185t

    • foreign exchange sales versus, 54–55

    • in Mexico, 196

    • in Peru, 231–32, 233f, 243–44, 244f

    • in Uruguay, 256f

    • of US dollars, 130–33, 131t–133t

  • Foreign exchange sales

    • in Chile, 120

    • in Colombia, 148–49, 148f

    • in Costa Rica, 180, 185t

    • foreign exchange purchases versus, 54–55

    • in Mexico, 5, 199–204, 201t, 203f, 204f, 221

    • in Peru, 244, 245f

  • Forward markets, 32, 63–77, 67f

    • balance of payments and, 69, 71f

    • CA and, 68

    • capital flow and, 68

    • capital inflows and, 71, 72n9

    • CIP and, 70

    • empirical results of, 72–73, 73f, 74f

    • equilibrium of, 69

    • exchange rate and, 70

    • hedging and, 68–69

    • NDFs and, 64n1

    • shocks and, 71–72

    • US dollar and, 68, 71

  • Forward pricing, 64

  • Frankel, Jeffrey, 13, 23

  • Fratzscher, Marcel, 58, 228

  • Free-floating exchange rate

    • in Brazil, 95

    • in Chile, 134

    • in Mexico, 195–224

    • in Peru, 235f, 237f

    • in Uruguay, 250n1

  • Fuentes, Miguel, 56, 149, 240

  • Fundamentals

    • in Costa Rica, 180

    • depreciation and, 16

    • signaling channels and, 12

  • FX Commission. See Foreign Exchange Commission

G

  • G3. See Group of Tree

  • Gabaix, Xavier, 10

  • Gallardo, Daniela, 5

  • GARCH. See Generalized autoregressive conditional heteroskedasticity

  • Garcia, Márcio, 10n4, 54, 56, 65, 72n9, 107, 109

  • García-Verdú, Santiago, 57, 207, 210

  • GDP growth, 13n8

    • in shocks, 232t

  • Generalized autoregressive conditional heteroskedasticity (GARCH), 181

  • Ghosh, Atish R., 11, 66

  • Global financial crisis

    • advanced economies and, 1

    • Brazil and, 35, 98, 104–6, 105f

    • Costa Rica and, 159

    • interest rates in, 104

    • international reserves and, 13n7, 14

    • Mexico and, 200

    • Peru and, 227, 231, 232

    • repos in, 3

    • Uruguay and, 249–50

  • González, Andrés, 145

  • Gordon, David B., 28

  • Government bonds, 10n4

    • in Colombia, 144–45

    • in Uruguay, 253

  • Graña, Alberto, 5–8

  • Group of Tree (G3), 25

  • Guatemala, 38

  • Guidotti-Greenspan rule, 15

H

  • Hansen, Peter, 108

  • Hardy, Daniel C., 87

  • Hawkins, John, 13

  • Hedging

    • in Brazil, 3–4, 36

    • in Chile, 30

    • in Colombia, 135

    • forward market interventions and, 68–69

    • in Mexico, 5, 204–5, 209

    • in Peru, 234

    • transparency and, 25

  • Hendrick, Oscar, 2–3

  • Hofman, David, 3

  • Honduras, 88

  • Hong Kong Special Administrative Region, 25

  • Hot money, 18

  • Huang, Zhao, 108

  • Humala, Alberto, 58

  • Hung, Juan, 25

  • Hutchison, Michael M., 182

I

  • IBR. See Indicator interest rate

  • Ilzetzki, Ethan, 94, 97

  • IMF. See International Monetary Fund

  • IMF metric, for Mexico, 218–19, 221f

  • Impulse-response functions (IRFs), 269, 275f, 280f–282f

  • Indicator interest rate (IBR), 138

  • Indirect interventions, in Uruguay, 265, 274

  • Inflation pass-through, 17–18

  • Inflation targeting, 79–105

    • appreciation and, 84

    • in Brazil, 97

    • by central banks, v, 1, 3, 30

    • in Chile, 115–19, 117f, 118f

    • in Colombia, 138

    • in Costa Rica, 156, 161, 163f

    • costs of intervention, 84–85

    • currency mismatches and, 3, 86–87

    • depreciation and, 84

    • exchange rates for, v

    • foreign exchange intervention and, 3

    • monetary policy and, 3, 28, 80–83, 81f, 82f

    • in Peru, 229, 232–33, 243

    • transparency in, 24, 85–86

    • in Uruguay, 249, 250, 259–60

  • Instrumental variables (IVs), 109n13

    • in Brazil, 109

    • endogeneity problem and, 44

  • Interday rule, in Costa Rica, 175–76

  • Interest rates, 3, 12, 18, 33, 41

    • in global financial crisis, 104

    • IBR, 138

    • in Mexico, 5

    • short-term, 138

    • in Uruguay, 267n23

  • International Monetary Fund (IMF), 16

    • adequacy of reserves accumulation of, 15, 15f

    • ARA of, 11f, 15

    • AREAR of, 25–26, 27t–28t, 161n5

    • Brazil and, 97

    • Code of Good Practices of, 24n1

    • Colombia and, 138, 142

    • on crawling band, 161n5

    • on de facto exchange rates, 161, 162t

    • Flexible Credit Line facility of, 223

    • Mexico and, 223

    • Survey of Foreign Exchange Market Organization by, 23

  • International reserves (accumulation), 16–17

    • ARA, 11f, 15

    • in Brazil, 98–99, 102–4, 104f

    • broad money and, 11f

    • by central banks, 12–16, 15f

    • in Chile, 117, 121, 122

    • in Colombia, 4, 135, 146, 146n26, 147f

    • in Costa Rica, 156, 170–71, 170f, 170t, 172f, 173f

    • currency crises and, 13

    • depreciation and, 14n9

    • for financial stability, 148

    • global financial crisis and, 13n7, 14

    • leaning against the wind and, 3–4

    • in Mexico, 5, 38, 196–200, 197f, 198f, 218–19, 220f–222f

    • in Peru, 16n11, 229–31, 230f, 232, 235–36

    • as precautionary, 12–16, 15f

    • in Uruguay, 253. See also Reserves-to-GDP ratio

  • Intraday rule, in Costa Rica, 175

  • IRFs. See Impulse-response functions

  • IVs. See Instrumental variables

  • Izquierdo, Alejandro, 197, 209, 218, 219

J

  • Japan, 250

    • transparency in, 25

  • Jeanne, Olivier, 14, 197, 218, 219, 222f

  • Johansen test, 261

K

  • Kamil, Herman, 53, 58

  • Kaminsky, Graciela, 13

  • Klau, Marc, 13

  • Kohlscheen, Emanuel, 54, 55, 109

  • Kolmogorov-Smirnov Test, 215, 217t

  • Korea, 65–66

  • Kuersteiner, Guido M., 46, 54

  • Kydland, Finn E., 28

L

  • Lahura, Erick, 46, 55, 240

  • Lanau, Sergi, 3

  • Lankester, Valerie, 4–5

  • Larraín, Catalina, 4

  • Leaning against the wind

    • in Costa Rica, 4, 156

    • floating exchange rate and, 108

    • international reserve and, 3–4

    • in Peru, 227–28, 235f, 236, 237f, 246n1

  • Lehman Brothers, 121

  • Uruguay and, 260

  • Levy-Yeyati, Eduardo, 122, 228

  • Licandro, Gerardo, 5–8, 254«2

  • Lipton, David, v–vi

  • Liquidity. See Foreign currency liquidity; Foreign exchange liquidity

  • Lizondo, Saul, 13

  • Long-term equilibrium exchange rate, 67, 67n5

  • Loo-Kung, Rudy, 197, 209, 218, 219

M

  • M1, 259, 259«12

  • Maggiori, Matteo, 10

  • Magud, Nicolas E., 2–3

  • Managed float

    • in Brazil, 93–99, 96t

    • in Costa Rica, 160–61, 161f, 162f, 177

    • in Peru, 228–32

  • Markets Committee, at Central Bank of Costa Rica, 168–69

  • Mello, Miguel, 5–8, 254n2

  • Melo Velandia, Luis F., 54, 55–56, 149

  • Mendoza, Alfonso, 53, 55

  • Mexico

    • bid-ask spread in, 215–17, 216f, 217t

    • crawling peg in, 196

    • currency crisis in, 16

    • depreciation in, 199, 209

    • dollarization in, 88, 88f

    • equilibrium selection channel in, 206

    • exchange rate in, 46, 197f, 201, 207–9, 209f, 210f

    • exchange rate volatility in, 5, 53, 208, 213, 214f, 215, 217t

    • foreign exchange intervention in, 38–39, 38t, 195–224

    • foreign exchange liquidity in, 213–15

    • foreign exchange purchases in, 54, 196

    • foreign exchange sales in, 5, 54, 199–204, 201t, 203f, 204f

    • forward market interventions in, 72–73, 74f

    • free-floating exchange rate in, 195–224

    • global financial crisis and, 200

    • hedging in, 5, 204–5, 209

    • IMF and, 223

    • IMF metric for, 218–19, 221f

    • inflation targeting in, 84

    • interest rates in, 5

    • international reserves in, 5, 38, 196–200, 197f, 198f, 218–19, 220f–222f

    • NDFs in, 39, 204–5

    • North American Free Trade Agreement and, 28

    • PEMEX in, 30–31

    • portfolio balance in, 206

    • preannounced versus discretionary

    • interventions in, 56

    • put options in, 198–99, 199f, 200t

    • regression analysis for, 210–11

    • reserves-to-GDP ratio in, 218

    • rules-based interventions in, 5, 38–39

    • signaling channels in, 206

    • sterilization interventions in, 206

    • swaps in, 204

    • transparency in, 223–24

    • US dollar and, 5, 38–39, 196, 199, 199f, 200–204, 202f, 204f, 208, 221. See also Bank of Mexico

  • Microstructure

    • channel, 10n1

    • model, 109

  • Moghadam, Reza, 197, 218

  • Monetary and Foreign Exchange Committee, at Central Reserve Bank of Peru, 243

  • Monetary policy

    • in Brazil, 106

    • in Costa Rica, 159–60

    • for exchange rates, 142n15

    • foreign exchange intervention and, 106

    • inflation targeting and, 3, 28, 80–83, 81f, 82f

    • in Peru, 228, 229, 233–34, 234f, 237

    • transmission lag for, 83n3

    • in Uruguay, 252, 258–61

  • MONEX, in Costa Rica, 164–68, 164n9, 165t, 166f, 171–73, 175, 178, 191, 197, 197f

  • Money demand, in Uruguay, 260

  • Montoro, Carlos, 29

  • Moral hazards, 17

  • Moura, Marcelo L., 53

  • Mundaca, Gabriela, 54, 241

  • Mundell, Robert, 9

  • Muñoz, Evelyn, 4–5

  • Murcia, Andrés, 149

N

  • Nagengast, Arne J., 122, 228

  • NDFs. See Nondeliverable forwards

  • Nedeljkovic, Milan, 53, 54

  • Newey-West standard errors, 284

  • New Keynesian framework, UIP in, 10

  • Nicaragua, 88

  • Nominal exchange rate, 59f, 83

    • in Chile, 115, 116, 123

    • in Costa Rica, 155, 157, 158f

    • in Uruguay, 249, 259, 268

  • Nondeliverable forwards (NDFs), 32

    • forward market interventions and, 64n1

    • in Mexico, 39, 204–5

  • Nonfinancial public sector, in Costa Rica, 171–73, 174f

  • Nonsterilized interventions, in Uruguay, 255, 257f, 262, 265

  • North American Free Trade Agreement, 28

  • Nozaki, Masahiro, 87

O

  • Obstfeld, Maurice, 14

  • OECD. See Organisation for Economic Co-operation and Development

  • OLS. See Ordinary least squares

  • Operational transparency, 24

      • Options, 32. See also Call options; Put options

  • Order-flow channel, 10n1

    • exchange rates in, 10n3

  • Ordinary least squares (OLS)

    • in Costa Rica, 184

    • endogeneity problem and, 44

  • Organic Law, of Central Bank of Paraguay, 40

  • Organisation for Economic

  • Co-operation and Development (OECD), 181

  • Ortiz, Marco, 29

  • Ostry, Jonathan D., 11, 66, 197, 218

  • Over-the-counter markets

    • in Brazil, 103

    • in Costa Rica, 163–64, 164f

    • in Peru, 241, 242f

P

  • Paraguay

    • discretionary interventions in, 40

    • dollarization in, 88, 88f

    • foreign exchange intervention in, 40

    • preannounced interventions in, 40

    • transparency in, 25

    • US dollar and, 40

  • Payne, Richard, 181, 184

  • Pazarbasioglu, Ceyla, 87

  • Pegs

    • in Brazil, 95, 97

    • in Costa Rica, 159

    • in Peru, 246. See also Crawling peg

  • Pereira, Fatima R., 53

  • Pereira da Silva, Luiz, 99

  • Perfect capital mobility, 9

  • Persistence, of foreign exchange intervention, 45

  • Peru

    • appreciation in, 239t

    • capital inflows in, 232

    • certificates of deposit in, 39, 243–45

    • commodity prices in, 231

    • currency mismatches in, 229, 234

    • depreciation in, 229, 231, 232, 236, 238, 239t

    • discretionary interventions in, 228, 243

    • dollarization in, 87, 88, 88f, 227–46, 230f

    • exchange rate in, 46, 229, 230f, 231

    • exchange rate volatility in, 5, 53, 53n2, 228, 233–34, 238, 241

    • financial stability in, 231

    • flexible exchange rates in, 234–35

    • foreign exchange intervention in, 39–40, 227–46, 232t, 242t

    • foreign exchange liquidity in, 229

    • foreign exchange purchases in, 54, 231–32, 233f, 243–44, 244f

    • foreign exchange sales in, 54, 244, 245f

    • forward market interventions in, 72–73

    • free-floating exchange rate in, 235f, 237f

    • global financial crisis and, 227, 231, 232

    • hedging in, 234

    • inflation targeting in, 229, 243

    • international reserves in, 16n11, 229–31, 230f, 232, 235–36

    • leaning against the wind in, 227–28, 235f, 236, 237f, 246n1

    • managed float in, 228–32

    • monetary policy in, 228, 229, 233–34, 234f, 237

    • over-the-counter markets in, 241, 242f

    • pegs in, 246

    • policy rate in, 233, 234

    • portfolio balance in, 258

    • quantitative easing in, 232

    • risk management in, 234–36, 236t

    • shocks and, 235–38, 235f, 237f

    • signaling channels in, 258

    • spot exchange rate in, 238

    • spot markets in, 5, 244

    • sterilization interventions in, 228, 233, 243

    • swaps in, 5

    • taper tantrum and, 236

    • US dollar and, 5, 16n11, 39. See also Central Reserve Bank of Peru

  • Phillips, David C., 46, 54

  • Pincheira, Pablo, 46, 57

  • Pistelli, Alfredo M., 122

  • Policy Committee, at Central Bank of Costa Rica, 168

  • Policy rate

    • in Colombia, 152

    • in Costa Rica, 159

    • dollarization and, 161n6

    • inflation pass-through and, 17–18

    • in Peru, 233, 234

  • Policy transparency, 24

  • Portfolio balance

    • in advanced economies, 10

    • assets in, 10

    • in Costa Rica, 178

    • exchange rate and, 10

    • in Mexico, 206

    • in Peru, 258

    • sterilization interventions and, 10n4

  • Preannounced interventions, 5, 30

    • in Brazil, 108–9

    • discretionary interventions versus, 56

    • in Mexico, 224

    • in Paraguay, 40

  • Prescott, Edward C., 28

  • Price stability, 26, 31, 41

    • in Costa Rica, 174–75

    • in Uruguay, 258

  • Purchases. See Foreign exchange purchases

  • Put options

    • in Colombia, 139–42, 141f, 152

    • in Mexico, 198–99, 199f, 200t

Q

  • Quantitative easing

    • by Federal Reserve, 98, 99

    • in Peru, 232

  • Qureshi, Asad, 2–3

R

  • Ramos-Francia, M., 207, 210

  • Rancière, Romain, 14, 197, 218, 219, 222f

  • Rawat, Umang, 3

  • Reaction function, central bank, 266, 269t

  • Real exchange rate, 13n8

    • model, 279t

    • in Uruguay, 251

    • in US dollars, 267n25

  • Real Plan, in Brazil, 95

  • Rebelo, Sergio, 100n9

  • Regression analysis

    • for Costa Rica, 184, 186–90, 187f, 187t–190t

    • for Mexico, 210–11. See also Vector autoregression

  • Reinhart, Carmen, 13, 94, 97

  • Rennhack, Robert, 87

  • Repos, 32

    • in Brazil, 3, 35

    • in global financial crisis, 3

  • Reserve Bank of Australia, 65

  • Reserves-to-GDP ratio

    • in Chile, 14, 30, 117, 118f, 121

    • in Colombia, 146–47

    • in Mexico, 218

  • Reverse swaps, in Brazil, 98, 100, 107

  • Rincón, Hernán, 46, 53, 57

  • Risk management, in Peru, 234–36, 236t

  • Rodriguez, Diego, 145

  • Rodríguez, Gabriel, 58

  • Rogoff, Kenneth, 28, 94, 97

  • Rojas, Diego, 149

  • Rules-based interventions, 3

    • in Colombia, 38

    • in Costa Rica, 156, 175–86

    • discretionary interventions versus, 26–30

    • in Guatemala, 38

    • in Mexico, 5, 38–39

  • Russian financial crisis, 117

    • Brazil and, 95

    • Peru and, 231

S

  • Saborowski, Christian, 53, 54

  • Sáez, Camila, 122

  • Sales. See Foreign exchange sales

  • Sales, Adriana, 99

  • Saravelos, George, 13

  • Saravia, Diego, 4

  • Sarno, Lucio, 23

  • SDRs. See Special drawing rights

  • Second-generation currency crisis, 13

  • SELIC. See Sistema Especial de Liquidacdo e Custo

  • Shambaugh, Jay, 14

  • Sheehy, Robert, 197, 218

  • Shek, Howard, 108

  • Shocks, 18–19

    • commodity price, 68

    • endogeneity problem and, 44

    • exchange rates after, 53

    • forward market interventions and, 71–72

    • GDP growth in, 232t

    • international reserves and, 16

    • Peru and, 5, 235–38, 235f, 237f

    • spot market interventions and, 71–72

    • Uruguay and, 250

  • Short-term

    • debt, 14, 15f

    • exchange rate, 86, 142

    • interest rates, 138

    • nominal interest rate, 119

  • Signaling channels

    • exchange rate and, 10

    • fundamentals and, 12

    • in Mexico, 206

    • in Peru, 258

  • Sistema Especial de Liquidacdo e Custo (SELIC), 36

  • Souza, Laura, 54, 56, 109

  • Special drawing rights (SDRs), 223

  • Spot exchange rate

    • CA and, 71

    • forward market interventions and, 64

    • in Peru, 238

    • regression for, 75t

    • UIP and, 12n6

  • Spot markets, 3

    • in Brazil, 109

    • in Chile, 120

    • CIP and, 70

    • in Colombia, 143–44

    • in Costa Rica, 4, 156

    • derivatives markets versus, 31–33, 31t–33t, 34f, 36f, 55–56

    • exchange rate and, 70

    • foreign exchange liquidity and, 1

    • in Peru, 5, 244

    • shocks and, 71–72

    • US dollar in, 66n3, 67, 104, 130

  • Sterilization interventions, 9–10, 10n1

    • in Colombia, 138, 144–46, 145f, 150t–151t

    • in Mexico, 206

    • in Peru, 228, 233, 243

    • portfolio balance and, 10n4

    • in Uruguay, 250–51, 255, 257f, 265

  • Stone, Mark R., 53, 56, 105

  • Straub, Ludwig, 227

  • Structural vector autoregression, 44, 54

  • Survey of Foreign Exchange Market Organization, by IMF, 23

  • Svensson, Lars, 233

  • Swaps, 32

    • in Brazil, 17n12, 35–36, 97, 99, 106–9

    • in Chile, 122

    • by Federal Reserve, 105

    • in Mexico, 204

    • in Peru, 5

    • reverse, in Brazil, 98, 100, 107

  • Switzerland, 10n2

T

  • Taper tantrum, 3

    • Brazil and, 106–8

    • Chile and, 30

    • Peru and, 236

    • Uruguay and, 278–79

  • Tapia, Matías, 56, 122, 130

  • Tashu, Melesse, 53, 55, 241

  • Taxonomy, of foreign exchange intervention, 2–3, 23–41

  • Taylor, Mark P. , 10n1, 14, 23

  • Taylor rule, 86

  • Third-generation currency crisis, 13

  • Time-inconsistency problem, 28

  • Tobal, Martín, 46, 54, 57

  • Tokman, Andrea, 56, 122, 130

  • Toro, Jorge, 46, 53, 57

  • Tovar, Camilo E., 46, 52–53, 56–57, 58, 251, 265, 266, 266n18, 266n21, 267n25

  • Transmission lag, for monetary policy, 83n3

  • Transparency (communication)

    • in Chile, 133–34

    • in Costa Rica, 177–78

    • in discretionary interventions, 25

    • in foreign exchange intervention, 23–26, 24n1

    • in inflation targeting, 3, 24, 85–86

    • in Mexico, 223–24

U

  • Uncovered interest parity (UIP), 9, 55

    • arbitrage and, 11

    • capital flows and, 11

    • exchange rate and, 12

    • in New Keynesian framework, 10

    • spot exchange rate and, 12n6

  • United States (US). See Federal Reserve, US; US dollar

  • Uruguay, 5

    • balance of payments in, 250n1

    • capital flows in, 250

    • capital inflows in, 254, 260

    • central bank reaction function for, 266, 269t

    • certificates of deposit in, 282t

    • commodity prices in, 252

    • CPI in, 254

    • currency mismatches in, 252–53, 260

    • depreciation in, 250n1

    • dollarization in, 87, 88, 88f, 253, 254n2

    • endogeneity problem in, 265–66

    • exchange rate in, 251

    • exchange rate volatility in, 5

    • financial stability in, 254, 260

    • floating currency in, 250

    • floating exchange rate in, 249

    • foreign currency liquidity in, 260

    • foreign exchange intervention in, 249–72, 270t, 282t

    • foreign exchange purchases in, 256f

    • free-floating exchange rate in, 250n1

    • global financial crisis and, 249–50

    • government bonds in, 253

    • inflation targeting in, 249, 250, 259–60

    • interest rates in, 267n23

    • international indicators for, 252f

    • international reserves in, 253

    • monetary policy in, 252, 258–61

    • price stability in, 258

    • real exchange rate in, 251

    • sterilization interventions in, 250–51, 255, 257f, 265

    • US dollar and, 5, 251, 252–54

    • VAR for, 251, 261–65, 263t–264t. See

    • also Central Bank of Uruguay

  • US. See United States

  • US dollar, 32

    • in BCDs, 118, 120, 130

    • Brazil and, 35–36, 65, 97, 98

    • Chile and, 4, 37

    • Colombia and, 37t, 138, 141, 148–49

    • Costa Rica and, 4, 157, 159

    • depreciation of, 121

    • foreign exchange purchases of, 130–33, 131t–133t

    • forward market interventions and, 64, 68, 71

    • in global financial crisis, 104–6, 105f

    • Korea and, 65–66

    • Mexico and, 5, 38–39, 196, 199, 199f, 200–204, 202f, 204f, 208, 221

    • Paraguay and, 40

    • PEMEX and, 30

    • Peru and, 5, 16n11, 39

    • real exchange rate in, 267n25

    • in spot markets, 66n3, 67, 104, 130

    • Uruguay and, 5, 251, 252–54. See also Dollarization; Taper tantrum

V

  • Valerio, Marco V. , 181

  • VAR. See Vector autoregression

  • Vargas, Hernando, 145

  • Vari, Miklos, 3

  • Vector autoregression (VAR)

    • structural, 44, 54

    • for Uruguay, 251, 261–65, 263t–264t

  • Vector error correction, 44

  • Vega, Marco, 5, 46, 55, 240

  • Ventanillas. See Over-the-counter market

  • Villamizar, Mauricio, 54, 55–56, 149

  • Villamizar-Villegas, Mauricio, 46, 53, 54, 55, 57

  • Vitale, Paolo, 23, 181, 184

  • VIX Index, 261

  • Volpon, Tony, 72n9, 107’

W

  • Walker, R. Christopher, 3, 53, 56, 105

  • Werner, Alejandro, 3

  • Wu, Tomas, 109

Y

  • Yasui, Yosuke, 53, 56, 105

  • Yetman, James, 223

  • Yslas, Renato, 46, 54, 57

Z

  • Zerecero, Miguel, 57

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