**Table 4. EGARCH(1,1) Estimations: Net Foreign Exchange Central Bank** **<u>Intervention in Mexico and Turkey.</u>**

|||Mexico|||Turkey||
|---|---|---|---|---|---|---|
||Magnitudes<sup>a</sup>|Frequencies|Restricted|Magnitudes<sup>a</sup>|Frequencies|Restricted|
|_Mean Equ_|_ation_||||||
|<br>φο|<br>-0.00008<sup>***</sup>|-0.00014<sup>*</sup>|-3.54e-09|0.00044<sup>***</sup>|-0.00003|0.000001|
||(-1.6101)<sup>b</sup>|(-2.8403)|(-9.9e-07)|(1.9429)|(-0.1441)|(0.03728)|
|φ_inter_<br>_c_|8.3e-06<sup>*</sup>|0.00117<sup>*</sup>|_|0.00002<sup>*</sup>|0.00085<sup>*</sup>|_|
||(13.636)|(15.4138)||(3.8514)|(3.0779)||
|φ_sin_|<br>-0.00005|<br>-0.00020|_|<br>0.0009|<br>0.00203|_|
|_g_|(-0.1197)<br>|(-0.43317)<br>||(0.06246)|(1.6462)||
|φ_brady_|-0.00062<sup>*</sup><br>(-4.5418)|-0.00058<sup>*</sup><br>(4.3338)|-0.00061<sup>*</sup><br>(-4.3340)|_|_|_|
|φ_ON_<br>_d_|<br>3.13e-07|<br>4.39-07<sup>***</sup>|_|-4.3e-07|5.9e-07|_|
||(1.2132)|(1.7177)||(-0.0050)|(-0.0065)||
|_Variance_|_Equation_||||||
|<br>ω|<br>-1.8810<sup>*</sup>|-2.2050<sup>*</sup>|-1.6680<sup>*</sup>|-2.9820<sup>*</sup>|-3.4460<sup>*</sup>|-0.3239<sup>*</sup>|
||(-7.2810)|(-7.9162)|(-6.8440)|(-2.8189)|(-2.7182)|(-2.5764)|
|α|0.2246<sup>*</sup>|0.2482<sup>*</sup>|0.2338<sup>*</sup>|0.4907<sup>*</sup>|0.5961<sup>*</sup>|<br>0.1489<sup>*</sup>|
||(5.4018)|(5.1337)|(5.5630)|(2.7391)|(3.3950)|(3.3351)|
|β|0.8617<sup>*</sup>|0.8371<sup>*</sup>|0.8799<sup>*</sup>|0.7502<sup>*</sup>|0.7076<sup>*</sup>|<br>0.9796<sup>*</sup>|
||(43.0238)|(39.4554)|(46.7700)|(7.6158)|(5.9962)|(85.2927)|
|γ|-0.9467<sup>*</sup>|-0.8697<sup>*</sup>|-0.9933<sup>*</sup>|||<br>_|
||(-4.3584)|(-3.8704)|(-4.4210)|_|_||
|δ_inter_|<br>-0.00373<sup>*</sup>|<br>-0.6018<sup>*</sup>|_|-0.00329<sup>**</sup>|-0.2536<sup>**</sup>|_|
||(-6.8121)|(-6.9585)||(-2.2635)|(-2.1041)||
|δ_ON_|<br>0.00014|<br>0.00013|_|<br>-0.00204<sup>*</sup>|<br>-0.00199|_|
||(1.4113)|(1.2007)||(-1.6208)|(-1.5600)||
|δ_sig_|<br>0.4965<sup>***</sup>|<br>0.5761<sup>**</sup>|_|<br>0.2222|<br>-0.1057|_|
||(1.7702)|(2.1004)||(0.2064)|(-0.1004)||
|δ_put_|-0.00008<br>(-0.55512)|_|_|_|_|_|
|_Decision_|<br>_Criteria_||||||
|_AIC_<sup>_e_</sup>|-12,582.7|-12,625.5|-12,491.1|-2,317.6|-2,309.8|-2,277.3|
|_BIC_<sup>_e_</sup>|<br>-12,505.4|<br>-12,553.4|<br>-12,460.1|<br>-2,280.0|<br>-2,272.2|<br>-2,262.3|
|_Q(20)_<sup>_f_</sup>|<br>22.00|<br>25.08|<br>23.79|<br>16.40|<br>17.64|<br>12.88|
|ε|[0.3405]<sup>_g_</sup>|[0.1984]|[0.2517]|[0.6915]|[0.6111]|[0.8824]|
|_Q_<sup>_2_</sup><br>ε<sup>_(20)f_</sup>|9.55|11.11|7.88|14.97|31.96|0.46|
||[0.9756]|[0.9433]|[0.9926]|[0.7781]|[0.0437]|[0.9999]|

*, ** and *** denote significance at the 1, 5 and 10% levels respectively.<sup>a</sup> In millions of US dollars;<sup>b</sup> _t-ratios_ in parenthesis;<sup>c</sup> Net intervention is measured as the sum of sales and purchases in a given day;<sup>d</sup> ON denotes the target for cumulative balances ( _short_ ) in Mexico and the overnight interest rate in Turkey;<sup>e</sup> AIC and BIC are the Akaike and Bayes Information Criteria respectively;<sup>f</sup> Qε(20) and Q<sup>2</sup> ε<sup>(20) are the twentieth-order Ljung-Box tests for correlation in the standardized residuals and in the squares of the standardized</sup> residuals;<sup>g</sup> P-values in brackets.

In Table 5, we present the effect of intervention on the exchange rate by type of operations. A sale to the market of USD 100 million appreciates the peso by 0.90 percent, while an equivalent intervention in Turkey appreciates the lira by 0.20 percent. Similarly, for every presence of the central banks, the peso and the lira appreciate by 1.3 20