The Dynamic Impact of FX Interventions on Financial Markets

• 成果类型: Article
• 署名作者: Menkhoff, Lukas; Rieth, Malte; Stohr, Tobias
• 署名单位: Humboldt University of Berlin; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW)
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00928
• 发表日期: 2021-12
• 页码: 939-953
• 关键词: foreign-exchange intervention; central bank interventions; income tax changes; reserves; event

摘要

Evidence on the effectiveness of foreign exchange (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 floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact persists for months. The signaling channel dominates the portfolio channel. Moreover, interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency.