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The efficacy of foreign exchange market intervention in Malawi

机译:外汇市场干预马拉维的效力

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摘要

The Malawi Kwacha was floated in February 1994. Since then, the Reserve Bank of Malawi has periodically intervened in the foreign exchange market. This paper analyses the effectiveness of foreign exchange market interventions carried out by the Reserve Bank of Malawi. We use a GARCH (1, 1) model to simultaneously estimate the effect of intervention on the mean and volatility of the Malawi kwacha.Using monthly exchange rates and official intervention data from January 2002 to February 2006, the empirical results suggest that intervention activities of the Reserve Bank of Malawi affect the kwacha. In line with similar findings elsewhere in the literature, the paper finds that net sales of dollars by the Reserve Bank of Malawi depreciate, rather than appreciate, the kwacha. This effect is very small, however. Moreover, the paper also finds that the Reserve Bank of Malawi intervention reduces the volatility of the kwacha. This shows that the Reserve Bank actually achieves its objective of smoothing out fluctuations of the kwacha. This can be evidenced by the stability of the kwacha during a greater part of 2004. Thus intervention is, to some extent, used as an effective tool for moderating fluctuations of the kwacha. However, its effectiveness is constrained by the amounts of foreign exchange reserves, which are usually low.
机译:马拉维克瓦查(Malawi Kwacha)于1994年2月上市。此后,马拉维储备银行定期干预外汇市场。本文分析了马拉维储备银行进行的外汇市场干预的有效性。我们使用GARCH(1,1)模型同时估算干预对马拉维克瓦查均值和波幅的影响。使用2002年1月至2006年2月的月汇率和官方干预数据,实证结果表明:马拉维储备银行影响克瓦查。与文献中其他地方的类似发现一致,该论文发现马拉维储备银行的美元净销售额使克瓦查贬值,而不是升值。但是,这种影响很小。此外,该论文还发现,马拉维储备银行的干预降低了克瓦查的波动性。这表明储备银行实际上达到了消除克瓦查波动的目的。 2004年的大部分时间里,夸夸会的稳定性可以证明这一点。因此,在某种程度上,干预被用作减轻夸夸会波动的有效工具。但是,其有效性受到通常较低的外汇储备量的限制。

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