Author: Lukas Menkhoff / Publication Year: within 10 Years

Author:: Lukas Menkhoff, Malte Rieth, and Tobias Stöhr
Publication Date:: 03-2020
Content Type:: Working Paper
Institution:: Kiel Institute for the World Economy (IfW)
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.
Topic:: International Political Economy, Exports, Data, and Models
Political Geography:: United States, Japan, and United Kingdom

Author:: Marcel Fratzscher, Tobias Heidland, Lukas Menkhoff, Lucio Sarno, and Maik Schmeling
Publication Date:: 11-2020
Content Type:: Working Paper
Institution:: Kiel Institute for the World Economy (IfW)
Abstract:: We construct a novel database of monthly foreign exchange interventions for 49 countries over up to 22 years. We build on a text classification approach that extracts information about interventions from news articles and calibrate our procedure to data about actual interventions. Our new dataset allows us to document stylized facts about the use of foreign exchange interventions for countries that neither publish their data nor make them available to researchers. Moreover, we show that foreign exchange interventions are used in a complementary way with capital controls and macroprudential regulation.
Topic:: Economics, Foreign Exchange, International Political Economy, Data, and Capital Controls
Political Geography:: Global Focus

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