How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches

Marcel Fratzscher ()

No 528, Working Paper Series from European Central Bank

Abstract: The paper analyses whether communication and actual interventions in FX markets are successful in moving exchange rates over the medium- to long-run. It compares empirical evidence based on time-series analysis with that obtained from an eventstudy approach. Both the time-series approach based on option contracts and the event-study methodology yield compelling evidence that communication and actual interventions tend to be successful in moving exchange rates in the desired direction contemporaneously as well as over the medium- to long-term. This finding is consistent with recent work on microstructure models that emphasises the importance of dynamic effects of news and fundamentals on exchange rates.

Keywords: Communication; exchange rate; intervention; policy; time-series analysis; event-study methodology; United States; euro area; Japan. (search for similar items in EconPapers)
JEL-codes: E61 E58 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-mon
Date: 2005-09
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