Replication data for: Capital Flows and Foreign Exchange Intervention

Principal Investigator(s):  View help for Principal Investigator(s) Paolo Cavallino

Version:  View help for Version V1

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Project Citation: 

Cavallino, Paolo. Replication data for: Capital Flows and Foreign Exchange Intervention. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114134V1

Project Description

Summary:  View help for Summary I consider a small open economy model where international financial markets are imperfect and the exchange rate is determined by capital flows. I use this framework to study the effects of portfolio flow shocks, derive the optimal foreign exchange intervention policy, and characterize its interaction with monetary policy. I derive the optimal intervention rule in closed form as a function of three implicit targets. Finally, using Swiss data, I estimate the model to quantify the inefficiencies generated by capital flow shocks and the optimal size of the intervention.

Scope of Project

Subject Terms:  View help for Subject Terms Capital flows; exchange rates
JEL Classification:  View help for JEL Classification
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
      F31 Foreign Exchange
      F32 Current Account Adjustment; Short-term Capital Movements
      F33 International Monetary Arrangements and Institutions
      F41 Open Economy Macroeconomics
Geographic Coverage:  View help for Geographic Coverage Switzerland
Time Period(s):  View help for Time Period(s) 1/1999 – 3/2011 (Macroeconomic effects of capital flows in Switzerland)
Data Type(s):  View help for Data Type(s) aggregate data

Methodology

Data Source:  View help for Data Source Swiss National Bank, State Secretariat for Economic Affairs, Swiss Federal Statistical Office, Deutsche Bundesbank, Statistical Office of the European Communities, Intercontinental Exchange, Bureau of Economic Analysis, Wall Street Journal, JP Morgan, Directorate General of Customs,
Unit(s) of Observation:  View help for Unit(s) of Observation Quarterly,

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V1 [2019-10-12]

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