پژوهش ها و چشم اندازهای اقتصادی

پژوهش ها و چشم اندازهای اقتصادی

مطالعۀ تطبیقی مداخلات ارزی در ایران، مکزیک و ترکیه

نویسندگان
محبوبه عباس زاده 1
بهرام سحابی 2
حسن حیدری 3
1 دانشجوی دکتری اقتصاد دانشگاه تربیت مدرس، تهران، ایران
2 دانشیار علوم اقتصادی دانشگاه تربیت مدرس، تهران، ایران
3 استادیار اقتصاد دانشگاه تربیت مدرس، تهران، ایران
10.22034/24.1.223
چکیده
مداخله در بازار ارز ابزاری است که توسط مقامات پولی کشورها به‏ منظور مدیریت نوسانات، تأثیرگذاری بر سطوح نرخ ارز یا تعیین سطح مطلوب ذخایر خارجی بانک‏های مرکزی استفاده می‏شود. بر ‏این ‏اساس، در بسیاری از کشورها به‌ویژه اقتصادهای در‏حال‏ ظهور و درحال‏ توسعه، بانک ‏های مرکزی به‌دقت تحولات بازار ارز را رصد نموده و در مواقع لزوم، به طور مستقیم و با خرید و فروش ارز خارجی در بازار ارز مداخله می‏ کنند. با این‏ حال، ملاحظات مربوط به مداخلات ارزی در کشورهای مختلف یکسان نبوده و مداخلات در مواردی از‏قبیل میزان شفافیت، قاعده ‏مندی، اشکال، حوزه اختیارات قانونی و ابزارهای مورد استفاده، تفاوت دارند. هدف از انجام این مطالعه، مقایسۀ تطبیقی مداخلۀ ارزی در ایران، ترکیه و مکزیک است. بر این‏ اساس، اصلی‏ ترین مفاهیم مربوط به مداخلات ارزی شامل اهداف، روش‌ها و تاکتیک‌های مداخلات ارزی بانک‌های مرکزی ایران، ترکیه و مکزیک مقایسه می‏ شود. علاوه ‏بر‏این، در این مطالعه برای بررسی و مقایسه رفتار مقامات پولی کشورهای مورد مطالعه، در مواجهه با افزایش نوسانات نرخ ارز با استفاده از روش حداقل مربعات معمولی، تابع واکنش بانک مرکزی برای سه کشور برآورد شده است. نتایج این پژوهش، نشان می‏ دهد که مداخلات ارزی در ایران از حیث ویژگی‏ های کلیدی مورد بررسی، با مداخلات ارزی در کشورهای ترکیه و مکزیک متفاوت هستند. همچنین، با توجه به نتیجه برآورد تابع واکنش؛ علاوه ‏بر عملکرد مشابه بانک مرکزی هر سه کشور در رابطه با واکنش سریع به افزایش نوسانات نرخ ارز و نامتقارن بودن رفتار، در هرسه‏ کشور، افزایش نرخ ارز نسبت به کاهش آن، حساسیت بیشتر مقامات پولی را در پی دارد.
کلیدواژه‌ها
تابع واکنش بانک مرکزی
سیاست ارزی ایران
سیاست ارزی ترکیه
سیاست ارزی مکزیک

موضوعات

عنوان مقاله English

A comparative study of the intervention in foreign exchange markets in Iran, Mexico and Türkiye

نویسندگان English

Mahboubeh Abaszadeh 1
Bahram Sahabi 2
Hassan Heydari 3
1 Ph.D. Candidate in Economics, Tarbiat Modares University, Tehran, Iran
2 Associate Professor of Economics, Tarbiat Modares University , Tehran,Iran
3 Assistant Professor of Economics, Tarbiat Modares University, Tehran, Iran
چکیده English

The aim of this study is the comparative study of the intervention in foreign exchange markets in Iran, Türkiye and Mexico. Therefore, the goals, methods, and different tactics of the foreign exchange interventions of the central banks are discussed. In addition, in this study, to investigate and compare the behavior of the monetary authorities in the face of increasing exchange rate fluctuations, using the ordinary least squares method, the reaction function of the central bank has been estimated. The results of this research show that the foreign exchange interventions in Iran are different from those of Türkiye and Mexico in terms of the key features investigated. Also, according to the reaction function estimation results, in these countries the increase in the exchange rate leads to more sensitivity of the monetary authorities compared to its decrease.

Introduction

In this research, by examining the features of foreign exchange interventions, the differences and similarities of this foreign exchange policy are evaluated in Iran, Türkiye, and Mexico. Due to features such as the establishment of a floating currency system, the availability of daily intervention data, and the experience of currency crises, two emerging economies, Mexico and Türkiye, have been chosen to match the characteristics of foreign exchange interventions with interventions in Iran.

Methodology

First, we examine the general policies and laws of central banks in relation to foreign exchange policies in Türkiye and Iran. Then we have compared Iran, Mexico, and Türkiye's measures related to foreign exchange interventions. Laws, characteristics, reasons, and laws of foreign exchange interventions in Türkiye, Mexico and Iran are evaluated. The results of this research show how the laws, goals, and implementation methods of different foreign exchange interventions in Türkiye, Mexico, and Iran will reflect different reactions of the monetary authority. In this research, the ordinary least squares method is used to estimate the reaction function of the central banks of Iran, Mexico, and Türkiye. We consider the reaction function of the central bank as follows:

Rt=c+αet~+β(et~)2+vt

In this equation, Rt is changes in foreign reserves of the central bank and et~ is the nominal exchange rate. Both variables are used with seasonal frequency and also in the form of logarithmic difference.

Findings

The interventions of Mexico and Türkiye are different from the foreign exchange interventions in Iran in terms of the level of transparency, regularity, sterilization, and the tools used. In addition, some goals affecting the interventions were also different in the three countries. This result shows that among the monetary authorities of all three countries, there is a fear of an increase in the exchange rate, and the foreign exchange interventions of the countries are mainly aimed at reducing the exchange rate.

Discussion and Conclusion

The results show that the interventions of Mexico and Türkiye are different from the foreign exchange interventions in Iran in terms of the level of transparency, regularity, sterilization and the tools used. In addition, some goals affecting the interventions were also different in the three countries. Also, the results show that the monetary authorities of all three countries are more sensitive to an increase in the exchange rate than to a decrease in the exchange rate.

کلیدواژه‌ها English

Central Bank Reaction Function
Iran's currency policy
Türkiye's currency policy
Mexico's currency policy
Abbaszadeh., Sahabi., Heydari, Hassan. (2022). Investigating foreign exchange interventions in Iran: a mixed data regression approach with different frequencies. Economic Policy, 13(26), 223-258. (In Persian).
Abderrazak, Ben Maatoug, Fatnassi, Ibrahim (2009). “The Effectiveness of Central Bank Intervention through the Noise trading Channel: Evidence from the Australian and the Japan Case”, papers.ssrn.com.
Adler, G., Lisack, N., & Mano, R. (2019). Unveiling the effects of foreign exchange intervention: A panel approach. Emerging Markets Review, 100620.
Akdogan, I. U. (2020). Understanding the dynamics of foreign reserve management: The central bank intervention policy and the exchange rate fundamentals. International Economics, 161, 41-55.
Al-Hamidy, A., & Banafe, A. (2013). Foreign exchange intervention in Saudi Arabia. BIS Paper, (73v).
Al-Jasser, M., & Banafe, A. (2005, May). Foreign exchange intervention in Saudi Arabia. In Participants in the meeting (p. 265).
Alla, Z., Espinoza, M. R. A., & Ghosh, M. A. R. (2017). FX Intervention in the New Keynesian Model. International Monetary Fund.
Archer, D. (2005). Foreign exchange market intervention: methods and tactics. BIS papers, 24, 40-55.
Azizi (2018). Investigating the instability of coefficients in the reaction function of foreign exchange interventions in Iran's economy. Economic Research and Policy Quarterly, 26(85), 271-300. (In Persian).
Benes, J., Berg, A., Portillo, R. A., & Vavra, D. (2014). Modeling Sterilized Interventions and Balance Sheet Effects of Monetary Policy in a New-Keynesian Framework. Open Economies Review, 26(1), 81–108.
BIS Papers (2019), Reserve management and FX intervention, No 104.
Calvo, G.A., 1991. The perils of sterilization. IMF Staff Papers, 38, 921-926.
Central Bank of Turkey, 2003, “General Framework of the Monetary and Exchange Rate Policy in 2003,” Press Release 2003-2 (Ankara, Turkey: Central Bank of Turkey)
Central Bank's economic report and balance sheet (2013). (In Persian).
Chutasripanich, N. and Yetman, J., 2015. Foreign exchange intervention: Strategies and effectiveness. Bank for International Settlements Working Paper No.499.
Disyatat, Piti and Gabriele Galati, 2005. “The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries” in Bank of International Settlements, “Foreign Exchange Market Intervention in Emerging Markets: Motives, Techniques and Implications, BIS Papers No. 24, May 2005.
Ebadi, Jahangard, & Hajar. (2012). Modeling foreign exchange intervention in Iran's foreign exchange market. Economic Research, 100(47), 23-44. (In Persian).
Edison, H. J., 1993. The effectiveness of central-bank intervention: A survey of the literature after 1982, International Finance Section, Department of Economics, Princeton University.
Edison, H., GuimaraesFilho, R., Kramer, C. and Miniane, J. , 2008. Sterilized intervention in emerging Asia: Is it effective?. In Capital Flows, Macroeconomic Management and Regional Cooperation in Aisa, edited by K.T. and Rajan Lee, R.S., pp.56-76. Seoul: Korea Institute for International Economic Policy.
Gamboa-Estrada, Fredy (2019), “The effectiveness of foreign exchange intervention in Latin America: A nonlinear approach to the coordination channel”, Global Finance Journal, ISSN: 1044-0283, Vol: 40, Issue: C, Page: 13-27.
García-Verdú, S., & Zerecero, M. (2013). On central bank interventions in the Mexican peso/dollar foreign exchange market.
Gereben, Áron; Gyomai, György; Kiss, Norbert M. (2005): The microstructure approach to exchange rates: A survey from a central bank’s viewpoint, MNB Occasional Papers, No. 42, Magyar Nemzeti Bank, Budapest.
Guimarães, R. F. (2004). The empirics of foreign exchange intervention in emerging market countries: the cases of Mexico and Turkey.
Hendrick, O. A., Magud, N. E., & Qureshi, A. (2019). A Taxonomy of intervention. Foreign exchange intervention in inflation targeters in Latin America, 23.
Hung, J.H., 1991. Noise trading and the effectiveness of sterilized foreign exchange intervention. Research Paper 9111, Federal Reserve Bank of New York.
Hung, J.H., 1997. Intervention strategies and exchange rate volatility: A noise trading perspective. Journal of International Money and Finance, 16, 779- 793.
Hurnpage, O.F. (1986). Exchange-Market Intervention: The Channels of Influence, Economic Review [Online] p.8-10.
Ito, T and T. Yabu, 2004. What Promotes Japan to Intervene in the Forex Market? A New Approach to a new Reaction Function. NBER Working Paper 10456.
Ito, T., & Yabu, T. (2020). Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy. Journal of the Japanese and International Economies, 58, 101106.
Ito, T., 2003. Is foreign exchange intervention effective? The Japanese experience in the 1990’s. In: Mizen P (ed) Monetary history, exchange rates and financial markets. Essays in honour of Charles Goodhart, 2, 126–153.
Ito, T., 2005. Interventions and Japanese economic recovery. International Economics and Economic Policy, 2(2-3), 219-239.
Ito, T., 2007. Myths and reality of foreign exchange interventions: An application to Japan. International Journal of Finance and Economics, 12(2), 133-154.
Ito, T., and Yabu, T., 2007. What prompts Japan to intervene in the Forex market? A new approach to a reaction function. Journal of International Money and Finance, 26(2), 193-212.
Khabani, Nasser. Gholjei, Samira (2014). Currency regimes and currency market pressure in an oil exporting economy (Case of Iran). Planning and Budget Quarterly, 19(3), 3-22. (In Persian).
Majlis Research Center (1400), "Income on the country's foreign exchange strategy: Consequences of nominal exchange rate stabilization".(In Persian).
Mohanty, M. S. (2013). Market Volatility and Foreign Exchange Intervention in EMEs: What Has Changed? -An Overview. An Overview (October 2013). BIS Paper, (73a).
Mohanty, M. S., & Berger, B. E. (2013). Central bank views on foreign exchange intervention. BIS Paper, (73e).
Moreno, R. (2005). Motives for intervention. BIS papers, 24, 4-18.
Moser-Boehm, P. (2005, May). Governance aspects of foreign exchange interventions. In Participants in the meeting (p. 19).
Mussa M. 1981. The Role of Official Intervention. Group of Thirty, New York.
Onder, Y. K., & Villamizar-Villegas, M. (2018). The effects of monetary and exchange rate policy shocks: Evidence from an emerging market economy. International Journal of Central Banking, 14(1), 159–199.
Özatay, F. (2005, May). Monetary and exchange rate policies in the post-crisis period in Turkey. In Participants in the meeting (p. 283).
Patel, N., & Cavallino, P. (2019). FX intervention: goals, strategies and tactics. BIS Paper, (104b).
Peiers, B., 1997. Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market. The Journal of Finance, 52, 1589-1614.
Perrotini, I., & Capraro, S. (2014). Sterilized Interventions in an Inflation Targeting Regime: Two Instruments to Control Inflation.
Pontines, V. and S.R. Rajan, 2011. Foreign exchange market intervention and reserve accumulation in emerging Asia: Is there evidence of fear of appreciation? Economics Letters 111, pp. 252-255.
Prasad, Nalini, 2018. “Sterilized interventions and capital controls,” Journal of International Money and Finance, Elsevier, vol. 88©, pages 101-121.
Saadatnejad, Abdulhamid., Tabatabaeinasab, Abtahi., Seyyedyahi, & Dehghan Tafti. (2019). The effects of central bank intervention in the foreign exchange market on macroeconomic variables in Iran in the form of dynamic stochastic general equilibrium (DSGE) model. Economic Strategy, 31(8), 79-115. (In Persian).
Santos, F. L. (2021). Comparing the impact of discretionary and pre-announced central bank interventions. Journal of International Money and Finance, 110, 102307.
Sarno, L. and Taylor, M., (2001). Official intervention in the foreign exchange market: Is it effective and, if so, how does it work? Journal of Economic Literature, 39(3), 839-868.
Suardi, S., 2008. Central Bank Intervention, Threshold Effects and Asymmetric Volatility: Evidence from the Japanese Yen-US Dollar Foreign Exchange Market. Economic Modelling, 25, 628-664.
Surico, P., 2008. Measuring the Time Inconsistency of US Monetary Policy. Economica 75, pp. 22-38.
The law on the central bank of the republic of türkiye (1970).
Viola, A. P., Klotzle, M. C., Pinto, A. C. F., & da Silveira Barbedo, C. H. (2018). Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach. Research in International Business and Finance.
Viziniuc, M. (2021). Winners and losers of central bank foreign exchange interventions. Economic Modelling, 94, 748-767.
www.banxico.org
www.cbi.ir
www.tcmb.gov.tr
پژوهش ها و چشم اندازهای اقتصادی
دوره 24، شماره 1
بهار 1403
صفحه 223-254