The dynamic impact of FX interventions on financial markets

Arbeitspapier

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact persists for months. The signaling channel dominates the portfolio channel. Moreover, interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Kiel Working Paper ; No. 2151

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; International Monetary Arrangements and Institutions ; Central Banks and Their Policies
• Thema: Foreign exchange intervention ; structural VAR ; exchange rates ; interest rates ; stock prices

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Menkhoff, Lukas ; Rieth, Malte ; Stöhr, Tobias
• Ereignis: Veröffentlichung
• (wer): Kiel Institute for the World Economy (IfW)
• (wo): Kiel
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/215399
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ