This paper examines the effects of foreign exchange (FX) communications on FX markets in Colombia and Mexico. Our estimations follow the calendar-time portfolio approach using daily data between 2000 and 2019 on exchange rates and known risk factors. We find an asymmetric effect of such communications: while there is strong evidence indicating that communications aimed at weakening the local currency affect the exchange rate level in the intended direction, there is no evidence of impact when examining communications intended to strengthen it. These results are consistent with fear of appreciation and with previous evidence from developed economies.

中文翻译：

---

外汇沟通有效吗？来自新兴市场的证据

本文探讨了外汇 (FX) 通讯对哥伦比亚和墨西哥外汇市场的影响。我们的估计遵循日历时间投资组合方法，使用 2000 年至 2019 年期间的每日汇率数据和已知风险因素。我们发现此类沟通的不对称效应：虽然有强有力的证据表明旨在削弱本币的沟通会按预期方向影响汇率水平，但在检查旨在加强汇率的沟通时没有证据表明有影响。这些结果与对升值的恐惧以及发达经济体之前的证据是一致的。