Alberto Humala

Estudios realizados

Bachiller en Ingeniería Económica

Universidad Nacional de Ingeniería (Perú)
1990.

Maestría en Economía Monetaria (M.Phil.)

University of Glasgow (Reino Unido)
1993.

Maestría en Economía y Finanzas

University of Warwick (Reino Unido)
2001.

Doctorado en Economía

University of Warwick (Reino Unido)
2005.

Areas of interest

Financial Markets

Monetary Policy and Central Banking

Financial Economics

Capital Flows

Financial Risks

Financial Econometrics

Keywords

exchange Rate Volatility

monetary policy

stock market returns

tipo de cambio

Main Publications

Foreign Exchange Intervention and Exchange Rate Volatility in Peru

Flexible exchange rate experience in Peru has been accompanied by frequent official interventions in the form of foreign exchange purchases or sales. Monetary authority pursues reducing excess volatility in the exchange rate through its direct intervention. However, in recent years, this intervention has concentrated in US dollars purchases, apparently signaling a bias towards defending a given exchange rate level (not necessarily fixed). For the period 1994 - 2007, this document assesses consistency of the empirical evidence with the goal of reducing exchange rate volatility. Thus, it uses univariate and multivariate time series models subject to stochastic shifts to study currency pressures. Results suggest consistency with the reduced-volatility goal. Nonetheless, in line with other studies, factors such as the foreign exchange gap with respect to its trend also induce foreign exchange intervention. *Accepted in Applied Economic Letters.*

Corporate earnings sensitivity to FX volatility and currency exposure: evidence from Peru.

Using firm-level information on currency risk positions, the effects of nominal foreign exchange shocks on non-financial corporate returns are assessed through a balanced-panel data approach. Depreciation shocks directly affect firms that have net short positions in foreign currency by decreasing their net asset valuation at higher exchange rates. Total earnings sensitivity to these pressures would depend on both the magnitude of the shocks (usually non-linear) and the extent of a firm's hedging strategy. The response from individual firms varies from adjusting their exposure through spot market operations to implementing derivative-hedging strategies. Indeed, an effective hedging policy might reduce significantly profit-loss sensitivity to currency volatility. Other enterprises just absorb currency losses considering shocks to be transitory or because core-business profits are large enough to overcome those losses. Interestingly, a significant depreciation episode does not necessarily induce non-user firms to start hedging through financial derivatives.

Publications