Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152962
Authors: 
Fratzscher, Marcel
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 528
Abstract: 
The paper analyses whether communication and actual interventions in FX markets are successful in moving exchange rates over the medium- to long-run. It compares empirical evidence based on time-series analysis with that obtained from an eventstudy approach. Both the time-series approach based on option contracts and the event-study methodology yield compelling evidence that communication and actual interventions tend to be successful in moving exchange rates in the desired direction contemporaneously as well as over the medium- to long term. This finding is consistent with recent work on microstructure models that emphasises the importance of dynamic effects of news and fundamentals on exchange rates.
Subjects: 
communication
euro area
event-study methodology
exchange rate
intervention
Japan
policy
time-series analysis
United States
JEL: 
C23
E41
E52
Document Type: 
Working Paper

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