You searched for: Publishing Institution Kiel Institute for the World Economy (IfW) Remove constraint Publishing Institution: Kiel Institute for the World Economy (IfW) Political Geography United States Remove constraint Political Geography: United States Publication Year within 3 Years Remove constraint Publication Year: within 3 Years Topic Data Remove constraint Topic: Data
- Author: Lukas Menkhoff, Malte Rieth, Tobias Stöhr
- Publication Date: 03-2020
- Content Type: Working Paper
- Institution: Kiel Institute for the World Economy (IfW)
- 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.
- Topic: International Political Economy, Exports, Data, Models
- Political Geography: United States, Japan, United Kingdom