Explaninig the Determinants of the Frequency of Exchange Rate Interventions in Peru using Count Models
The determinants of the frequency of Central Bank interventions (purchases and sales) in the Peruvian exchange rate market are analyzed using weekly data for the period from January 2001 to December 2010 using count data models. Results show that the deviations of the logarithm of the exchange rate with respect to a long term trend, previous weeks interventions (persistency), the Embig spread, the spread of prime corporate and interbank interest rates, and the spread between interest rate in domestic and foreign currency are important determinants.
Exchange Rate Intervention, Frequency of Intervention, Count Models, Exchange Rate, Interest Rate Spread
C22, C32, C35, E52, F31