FX Interventions and Capital‐Constrained Banks: Evidence from USD/ILS Spot, Forward, and Option Markets
利用以色列央行2013-2019年机密日度数据，发现10亿美元购买使谢克尔贬值0.82%，效果强于其他研究，部分归因于全球银行风险承担能力有限，并影响期权市场预期。
Abstract Using confidential daily data, we examine the Bank of Israel's foreign exchange interventions from 2013 to 2019. We find that a 1 billion U.S. dollars (USD) purchase leads to a 0.82% depreciation of the Israeli Shekel (ILS)–a strong effect compared to other studies. We show that this effectiveness can partially be attributed to the limited risk‐taking capacity of global banks. The interventions also widen the negative deviation from covered interest parity and influence the higher‐order moments of risk‐neutral expectations derived from options prices. We find that USD purchases shift the USD/ILS distribution upward and reduce crash risk. Moreover, the options market anticipates and prices in upcoming interventions.