About this learning event

At the webinar, we will talk about two norms to define excess volatility and the concept of Value at Risk (VaR) to determine the foreign exchange intervention (FXI) triggers. It will cover the theoretical background for risk-based foreign exchange interventions, the methodology and technique of modelling the triggers and will present a demonstration of the IMF-developed tool.

Who should attend

Webinar is designed for central bank officials working on market and bank operations and monetary policy strategy. Others working in related areas and interested in the topic are encouraged to apply as well.

Faculty

• Zhuohui Chen, Monetary and Capital Markets Department, International Monetary Fund
  Zhuohui is a Research Analyst and he provides assistance with quantitative and econometric research, covering topics such as monetary policy, risk analysis, etc., and develops infrastructure and workshops of advanced quantitative modelling. Zhuohui holds a master’s degree in public administration from the University of Maryland and a bachelor's degree in computer sciences and is originally from China.
• Romain M Veyrune, Monetary and Capital Markets Department, International Monetary Fund
  Romain is Deputy Division Chief in the Central Banking Division. He supervised the liquidity management, central bank domestic operations, and foreign exchange intervention strategy workstreams for his department.
  He has over 17-years of diversified career, of which 15 years as an economist at the IMF and 2 years at the ECB as market operation expert. At the IMF, he contributed to program preparation, cross-functional and fund-wide projects, technical assistance missions, Financial Sector Assessment Programs, and IMF major publications. At the ECB, Romain contributed to the development of the money market and liquidity analysis for the liquidity committee.
  Romain has published articles on forecasting models for foreign exchange decisions, curve fitting for banks; demand for reserves, and autonomous factor forecast quality. He holds a Ph.D. in Development Economics.

 

Background

More on the topic is explained in the IMF Working Paper No. 21/32 (Lafarguette and Veyrune 2021): Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework.

Partners

This learning initiative was supported by: