Arbeitspapier
Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is basically not a new topic; however, we put our focus on two new questions. Firstly, does the consideration of periods of massive interventions in the foreign exchange market help to uncover a potential long-run relationship between the exchange rate and its fundamentals? Secondly, do Forex interventions support the adjustment towards a long-run equilibrium value? Our overall results suggest that taking periods of interventions into account within a monetary model does improve the goodness of fit of an identified long-run relationship to a significant degree. Furthermore, Forex interventions increase the speed of adjustment towards long-run equilibrium in some periods, particularly in periods of coordinated forex interventions. Our results indicate that only coordinated interventions seem to stabilize the dollar-yen exchange rate in a long-run perspective. This is a novel contribution to the literature.
- ISBN
-
978-3-86788-484-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Ruhr Economic Papers ; No. 428
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Foreign Exchange
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
structural exchange rate models
cointegration
intervention analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beckmann, Joscha
Belke, Ansgar
Kühl, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (wo)
-
Essen
- (wann)
-
2013
- DOI
-
doi:10.4419/86788484
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Beckmann, Joscha
- Belke, Ansgar
- Kühl, Michael
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Entstanden
- 2013
Ähnliche Objekte (12)
Foreign exchange market interventions and the $-¥ exchange rate in the long run
Introduction to the Special Issue on “Exchange Rates, Financial Integration and Uncertainty”
The Yen exchange rate and the hollowing out of the Japanese industry
The yen exchange rate and the hollowing out of the Japanese industry
The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
The Yen Exchange Rate and the Hollowing-out of Japanese Industry
Exchange-rate regimes and the transition process in the western Balkans: A comparative analysis
Exchange Rate Volatility and Employment Growth: Empirical Evidence from the CEE Economies
Exchange Rate Volatility and Employment Growth : Empirical Evidence from the CEE Economies
Contagion, herding and exchange-rate instability: A survey
Exchange rate bands of inaction and hysteresis in EU exports to the global economy: The role of uncertainty
Foreign exchange market interventions and the $-¥ exchange rate in the long run
Introduction to the Special Issue on “Exchange Rates, Financial Integration and Uncertainty”
The Yen exchange rate and the hollowing out of the Japanese industry
The yen exchange rate and the hollowing out of the Japanese industry
The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
The Yen Exchange Rate and the Hollowing-out of Japanese Industry
Exchange-rate regimes and the transition process in the western Balkans: A comparative analysis
Exchange Rate Volatility and Employment Growth: Empirical Evidence from the CEE Economies
Exchange Rate Volatility and Employment Growth : Empirical Evidence from the CEE Economies
Contagion, herding and exchange-rate instability: A survey
Exchange rate bands of inaction and hysteresis in EU exports to the global economy: The role of uncertainty
Foreign exchange market interventions and the $-¥ exchange rate in the long run
Introduction to the Special Issue on “Exchange Rates, Financial Integration and Uncertainty”
The Yen exchange rate and the hollowing out of the Japanese industry
The yen exchange rate and the hollowing out of the Japanese industry
The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
The Yen Exchange Rate and the Hollowing Out of the Japanese Industry
The Yen Exchange Rate and the Hollowing-out of Japanese Industry
Exchange-rate regimes and the transition process in the western Balkans: A comparative analysis
Exchange Rate Volatility and Employment Growth: Empirical Evidence from the CEE Economies
Exchange Rate Volatility and Employment Growth : Empirical Evidence from the CEE Economies
Contagion, herding and exchange-rate instability: A survey