Foreign exchange market interventions and the $-¥ exchange rate in the long run
Joscha Beckmann (),
Ansgar Belke and
Michael Kühl ()
Applied Economics, 2015, vol. 47, issue 38, 4037-4055
This article examines whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. We rely on a re-examination of the empirical performance of a monetary exchange rate model. This is basically not a new topic; however, we focus on two new questions. First, does the consideration of periods of massive interventions in the foreign exchange market uncover a potential long-run relationship between the exchange rate and its fundamentals? Second, do Forex interventions support the adjustment towards a long-run equilibrium value? Our 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.
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Working Paper: Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long Run* (2013)
Working Paper: Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:38:p:4037-4055
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