Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83691
Authors: 
Abarca, Gustavo
Ramírez, Claudia
Rangel, José Gonzalo
Year of Publication: 
2012
Series/Report no.: 
Working Papers, Banco de México 2012-08
Abstract: 
This article examines changes in the exchange rate expectations associated with capital controls and banking regulations in a group of emerging countries that implemented these measures to control the adverse effects of sudden capital flows on their currencies. The evidence suggests that for most countries the effects of this type of policies are limited. Moreover, in some cases they appear to have an opposite effect from the one intended. In particular, for some currencies our results suggest there were changes in the extremes of their exchange rate distributions, which make their tails heavier and signal that the market allocates a greater probability to extreme movements. In the same way, evidence is found that this type of measures increases the levels of currency risk premium.
Subjects: 
capital controls
banking regulation
exchange rate expectations
emerging economies
generalized extreme value
JEL: 
C14
E44
E58
F31
G15
Document Type: 
Working Paper
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