Title Page
Monetary and Capital Markets Department
Contents
Abstract
I. Introduction
II. VaR Interventions and Exchange Rate at Risk
III. Empirical Framework
A. Specification
B. Estimation Results
IV. Operational Framework
A. Risk-Based Triggers
B. FX Intervention Calibration under Risk-Based Interventions
V. The Case of Mexico
A. Interventions with a Minimum Rate
B. Interventions without a Minimum Rate
VI. Conclusion
Figures
1. Conditional VaR and Density
2. Mexican Peso against U.S. Dollar
3. Conditional FX Volatility Over Time
4. Out-of-sample Conditional Density
5. Out-of-sample Fan Chart
6. Probability Integral Transform Test
7. VaR FX Intervention Rule Based on a Given Information Set
8. Conditional Cumulative Distribution Function and Intervention Thresholds
9. Conditional VaR Exceedance, Out-of-Sample
10. FX Interventions Log Return with Minimum Rate
11. Conditional CDF of FX Intervention with Minimum Rate
12. FX Interventions Without Minimum Rate on the Mexican Peso/U.S. Dollar
13. Conditional CDF of FX Intervention Without Minimum Rate
Table
1. Results of the GARCH Estimates
Appendices
I. Comparative Static Financial Performances
II. Out-of-Sample Benchmarking