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dc.contributor.author
Levy Yeyati, Eduardo Luis
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dc.contributor.author
Gómez, Juan Francisco
dc.date.available
2023-12-14T12:43:56Z
dc.date.issued
2021-11
dc.identifier.citation
Levy Yeyati, Eduardo Luis; Gómez, Juan Francisco; Leaning-Against-the-Wind Intervention and the “Carry-Trade” View of the Cost of Reserves; Springer; Open Economies Review; 33; 5; 11-2021; 853-877
dc.identifier.issn
0923-7992
dc.identifier.uri
http://hdl.handle.net/11336/220309
dc.description.abstract
For a sample of emerging economies, we estimate the quasi-fiscal costs of sterilized foreign exchange interventions as the P&L of an inverse carry trade. We show that these costs can be substantial when intervention has a neo-mercantilist motive (preserving an undervalued currency) or a stabilization motive (appreciating the exchange rate as a nominal anchor) but are rather small when interventions follow a countercyclical, leaning-against-the-wind (LAW) pattern to contain exchange rate volatility. We document that under LAW, central banks outperform a constant size carry trade, as they additionally benefit from buying against cyclical deviations, and that the cost of reserves under the carry-trade view is generally lower than the one obtained from the credit-risk view (which equals the marginal cost to the country´s sovereign spread).
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Springer
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dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
EXCHANGE RATES
dc.subject
FOREIGN EXCHANGE INTERVENTION
dc.subject
INTERNATIONAL RESERVES
dc.subject
SELF-INSURANCE
dc.subject.classification
Otras Economía y Negocios
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dc.subject.classification
Economía y Negocios
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dc.subject.classification
CIENCIAS SOCIALES
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dc.title
Leaning-Against-the-Wind Intervention and the “Carry-Trade” View of the Cost of Reserves
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2023-12-12T13:21:42Z
dc.identifier.eissn
1573-708X
dc.journal.volume
33
dc.journal.number
5
dc.journal.pagination
853-877
dc.journal.pais
Estados Unidos
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dc.description.fil
Fil: Levy Yeyati, Eduardo Luis. Universidad Torcuato Di Tella. Escuela de Gobierno; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.description.fil
Fil: Gómez, Juan Francisco. Universidad de Buenos Aires; Argentina
dc.journal.title
Open Economies Review
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007/s11079-022-09689-z
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1007/s11079-022-09689-z
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