The dynamic impact of FX interventions on financial markets

Malte Rieth (), Lukas Menkhoff and Tobias Stöhr
Authors registered in the RePEc Author Service: Tobias Heidland

VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy from Verein für Socialpolitik / German Economic Association

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.

Keywords: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices (search for similar items in EconPapers)
JEL-codes: E58 F31 F33 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-cba, nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/203504/1/VfS-2019-pid-25813.pdf (application/pdf)

Related works:
Journal Article: The Dynamic Impact of FX Interventions on Financial Markets (2021)
Journal Article: The Dynamic Impact of FX Interventions on Financial Markets (2021)
Working Paper: The Dynamic Impact of FX Interventions on Financial Markets (2020)
Working Paper: The dynamic impact of FX interventions on financial markets (2020)
Working Paper: The Dynamic Impact of FX Interventions on Financial Markets (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc19:203504

Access Statistics for this paper

More papers in VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy from Verein für Socialpolitik / German Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().