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Financial Sector Policies

FX Intervention Rules A Risk-Based Framework

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Session No.: ST 23.14

Location: Singapore, Singapore

Date: April 17-21, 2023 (1 week)

Delivery Method: In-person Training

Primary Language: English

    Target Audience

    Mid-level to senior central bank officials interested in market operations and monetary policy strategy.

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    Qualifications

    Participants with experience in bank central bank operations, financial markets, and basic knowledge of quantitative methods.

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    Course Description

    The course presents how to estimate and implement foreign exchange intervention rules based on a risk approach. The course covers techniques suitable for:

    • Central banks operating a flexible exchange rate arrangement, intervening on the foreign exchange market with financial and price stability objectives
    • Central banks transitioning from a fixed exchange rate arrangement to a floating exchange rate arrangement

    The course covers the theoretical background for risk-based FX interventions, the econometric theory of risk estimation and will present a complete application on a country case. The theory of risk-based FX interventions is explained in the IMF Working Paper No. 21/32 (Lafarguette and Veyrune 2021)

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    Course Objectives

    Upon completion of this course, participants should be able to implement an FX risk model that can be used for:

    • Conducting FX market monitoring and inform policymakers decisions.
    • Intervening on the FX markets via a risk-optimal approach.
    • Benchmarking past FX interventions (even discretionary-based).
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