Similar Search Results

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2020

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...

Persistent link: https://www.econbiz.de/10012180848

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019

shocks significantly affect exchange rates and that this impact persists for months. We show for Japan and the US that …

Persistent link: https://www.econbiz.de/10012138448

Industry‐Specific Real Effective Exchange Rates and Export Price Competitiveness : The Cases of Japan, China, and Korea

Sato, Kiyotaka; Shimizu, Junko; Shrestha, Nagendra; … - 2013

indices, for Japan, China, and Korea on a monthly basis from January 2001 to February 2013 in order to provide a better … performances of Japan and Korea …

Persistent link: https://www.econbiz.de/10014150508

Managed Floating : Understanding the New International Monetary Order

Bofinger, Peter; Wollmershaeuser, Timo - 2001

Although there seems to be a broad consensus among economists that purely floating or completely fixed exchange rates (the so-called corner solutions) are the only viable alternatives of exchange rate management, many countries do not behave according to this paradigm and adopt a strategy within...

Persistent link: https://www.econbiz.de/10014129040

Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates

Neely, Christopher J. - 2007

Most intervention studies have been silent on the assumed structure of the economic system - implicitly imposing implausible assumptions - despite the fact that inference depends crucially on such issues. This paper identifies the cross-effects of intervention and the level of exchange rates...

Persistent link: https://www.econbiz.de/10014057873

Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis

Vo, Minh - 2011

volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …

Persistent link: https://www.econbiz.de/10013131145

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006

left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

Persistent link: https://www.econbiz.de/10003337476

Central bank intervention, threshold effects and asymmetric volatility : evidence from the Japanese yen-US dollar foreign exchange market

Suardi, Sandy - In: Economic modelling 25 (2008) 4, pp. 628-642

Persistent link: https://www.econbiz.de/10003791238

Size matters : central bank interventions on the yen/dollar exchange rate

Beine, Michel; Szafarz, Ariane - In: Brussels economic review 49 (2006) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10003620335

Interventions in the yen-dollar spot market: a story of price, volatility and volume

Kim, Suk-Joong; Sheen, Jeffrey R. - In: Journal of banking & finance 30 (2006) 11, pp. 3191-3214

Persistent link: https://www.econbiz.de/10003386444