Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/203504 
Year of Publication: 
2019
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: International Economics - Exchange Rates No. A14-V1
Publisher: 
ZBW - Leibniz-Informationszentrum Wirtschaft, Kiel, Hamburg
Abstract: 
Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we find that FX interventions significantly affect exchange rates, although the effect is smaller than in emerging markets, and this impact persists for up to a year. There is no major effect on interest rates, but stock prices increase in line with currency devaluation, in particular those of large (exporting) firms. The results qualitatively hold for US and UK interventions.
Subjects: 
Foreign exchange intervention
structural VAR
exchange rates
interest rates
stock prices
JEL: 
F31
F33
E58
Document Type: 
Conference Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.