مداخلات بانک مرکزی، ارتباطات و سیاست نرخ بهره در اقتصاد در حال ظهور اروپا

This paper analyses the effectiveness of foreign exchange interventions in Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey using the event study approach. Interventions are found to be effective only in the short run when they ease appreciation pressures. Central bank communication and interest rate steps considerably enhance their effectiveness. The observed effect of interventions on the exchange rate corresponds to the declared objectives of the central banks of Croatia, the Czech Republic, Hungary and perhaps also Romania, whereas this is only partially true for Slovakia and Turkey. Finally, interventions are mostly sterilized in all countries except Croatia. Interventions are not much more effective in Croatia than in the other countries studied. This suggests that unsterilized interventions do not automatically influence the exchange rate. Journal of Comparative Economics35 (2) (2007) 387–413.

The empirical literature on the effectiveness of—mostly sterilized—foreign exchange (FX) interventions in developed market economies remains fairly mixed despite the recent emergence of some more supportive evidence.1 In this context, Canales-Kriljenko (2003) argues that foreign exchange interventions may be more effective in emerging market economies than in well-established industrialized countries, because (1) central bank interventions are not always fully sterilized, (2) the size of interventions is large relative to market turnover in narrow foreign exchange markets, (3) the market organization and the regulatory framework may be more conducive to interventions, or (4) moral suasion may play a bigger role. Nonetheless, there is little empirical evidence with regard to the proposition that central bank interventions might be more effective in emerging market economies. This is also true for emerging European market economies, even though the number of country-specific studies has been on the rise recently.2 Against this backdrop, we add to the literature by scrutinizing the impact of daily FX interventions on the exchange rate in a large number of emerging European countries—Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey—for episodes of flexible exchange rate policies. In this endeavor, we have recourse to the event study approach, which is claimed to be superior to econometric analysis if interventions take place only sporadically (Fatum, 2002 and Fatum and Hutchison, 2003). In addition to the broad country coverage, our contribution to the literature is threefold. First, we scrutinize the role of central bank communication and interest rate news and study how they can reinforce the effect of actual interventions. Second, we do not only analyze the effectiveness of FX interventions, but also attempt to clarify whether actual interventions are fully, partially or not at all sterilized. This is crucial, given that unsterilized interventions are thought to be more effective than sterilized interventions. We also discuss under what conditions unsterilized interventions are more effective than sterilized ones. Finally, the success of central bank interventions is interpreted not only in terms of the statistical success criteria but also in the light of the officially stated objectives of FX interventions. The remainder of this study is structured as follows. Section 2 briefly sketches the role and stated objectives of FX interventions in the countries under review. Section 3 discusses the event study approach, while Section 4 describes the dataset and Section 5 presents the results. Section 6 analyzes whether FX interventions are fully sterilized. Section 7 finally gives some concluding remarks.

In this study, we investigated the effectiveness of FX interventions in six emerging European countries employing the event study methodology. We found that central bank interventions adjusted for other factors were successful in slowing down or reversing an exchange rate trend in the short run, i.e. up to 10 days, in Croatia, the Czech Republic, Slovakia and Turkey. Short-term success was most pronounced when interventions aimed to ease appreciation pressures. At the same time, interventions were found to be ineffective in Romania and not assessable at all in Hungary because interventions overlapped with other factors. Using the event study methodology, it is difficult to establish which channel interventions affect the exchange rate. Three channels may play a role in Croatia, where interventions are announced in advance: the signaling channel, the portfolio channel as well as the microstructure (order-flow) channel. However, for the other countries with secret discretionary interventions, we assume that only the portfolio and the microstructure channels transmit the effect of interventions to the exchange rate. While the sign bias test reveals very short-term effects of central bank communication only for Hungary and longer-term influence of interest news only for the Czech Republic and Hungary, interventions coupled with central bank communication and backed by interest rate moves turn out to have a longer lasting effect on the exchange rate for all countries. This holds especially true for domestic currency sales. In addition, if different intervention events are allowed to amplify each other's effect, even domestic currency purchases turn out to cope successfully with a depreciation of the domestic currency in Croatia, the Czech Republic, Slovakia and Turkey. However, the observed outcome can be viewed as a real success only, if it is in line with the officially stated objectives of central bank interventions. As a matter of fact, the observed effect of interventions on the exchange rate is generally compatible with the central banks' objectives relating to changes in the exchange rate in Croatia, the Czech Republic and, to a lesser extent, in Romania and with the objective of maintaining the fluctuation bands in Hungary. This, however, cannot be fully said for Slovakia and Turkey based on the results of the event study analysis for the period from 1999 to 2006 and from 2001 to 2006, respectively. Although the National Bank of Slovakia successfully counteracts what it calls excessive depreciation and appreciation pressures, the goal of reducing exchange rate volatility has apparently remained unfulfilled. The central bank of Turkey does not achieve the single aim of systematically reducing exchange rate volatility via discretionary interventions with a combination of verbal interventions and interest rate news. Moreover, a side-effect of discretionary and also of auction-based interventions is their significant impact on the exchange rate. We also looked into the issue of sterilization and found that most central banks, perhaps with the exception of Croatia, tended to fully sterilize FX interventions. Interestingly, this partial sterilization in Croatia does not lead to a substantial improvement of the effectiveness of FX interventions as compared to the other countries—the monetary model, which ensures that unsterilized interventions are transmitted to the exchange rate, is not operational in Croatia (see Crespo-Cuaresma et al., 2005b). This makes us cautious about the generally accepted view that unsterilized interventions automatically influence the exchange rate.