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
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978-3-86788-484-6
- Language
-
Englisch
- Bibliographic citation
-
Series: Ruhr Economic Papers ; No. 428
- Classification
-
Wirtschaft
Financial Markets and the Macroeconomy
Foreign Exchange
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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structural exchange rate models
cointegration
intervention analysis
- Event
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Geistige Schöpfung
- (who)
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Beckmann, Joscha
Belke, Ansgar
Kühl, Michael
- Event
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Veröffentlichung
- (who)
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Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (where)
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Essen
- (when)
-
2013
- DOI
-
doi:10.4419/86788484
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Beckmann, Joscha
- Belke, Ansgar
- Kühl, Michael
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Time of origin
- 2013
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