Browsing by Autor "David Pérez-Reyna"

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A THEORETICAL APPROACH TO STERILIZED FOREIGN EXCHANGE INTERVENTION
(Wiley, 2015) Mauricio Villamizar‐Villegas; David Pérez-Reyna
Abstract In this paper, we survey prominent theories that have shaped the literature on sterilized foreign exchange interventions. We identify three main strands of literature: (1) that which deems interventions futile; (2) that which requires some market friction (i.e. limited arbitrage) in order for interventions to be effective; and (3) that which advocates the use of interventions as long as they convey signals on the stance of future monetary policy. We contribute to the literature in three important ways. First, by reviewing new theoretical models that have surfaced within the last decade. Second, by further penetrating into the theory of interventions in order to analyze the key features that make each model distinct. And third, by only focusing on sterilized operations, which allows us to sidestep the effects induced by changes in the stock of money supply. In addition, the models that we present comprise both a macro and microstructure approach so as to provide a comprehensive view of the theory behind exchange rate intervention.
Contratos, Dinámica de Empresas y Productividad Agregada
(2019) Bernabé López-Martín; David Pérez-Reyna
como las conclusiones que de ellos se derivan, son responsabilidad exclusiva de los
Heterogeneous UIPDs across Firms: Spillovers from U.S. Monetary Policy Shocks
(2025) Miguel Acosta-Henao; María Cristina Duarte Amado; Montserrat Martí; David Pérez-Reyna
This paper investigates the granular transmission of U.S. monetary policy shocks to deviations from the uncovered interest rate parity (UIPDs) in emerging economies. Using a comprehensive dataset from Chile that accounts for firm-bank relationships and the time-variant characteristics of both firms and banks, we uncover several key findings: (1) Shocks to the federal funds rate (FFR) increase banks’ costs of foreign borrowing. (2) These higher credit costs disproportionately affect small firms, raising their UIPDs more than for large firms. (3) This size-differentiated impact stems from the relatively higher interest rates on domestic currency loans faced by small firms. (4) In contrast, interest rates on dollar-denominated loans respond homogeneously across all firms. (5) We find no differential effect on loan quantities, suggesting an active role of credit supply and demand. We rationalize these findings with a small open economy model of corporate default that incorporates heterogeneous firms borrowing from domestic banks in both foreign and domestic currencies. In our model, a higher FFR reduces the marginal cost of defaulting on domestic-currency debt for small firms more than for large firms.