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 floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact ...
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. This new dataset allows us to document stylized facts about the use of foreign exchange interventions for countries that ...
In:
IMF Economic Review
71 (2023), 4, S. 852–884
| Marcel Fratzscher, Tobias Heidland, Lukas Menkhoff, Lucio Sarno, Maik Schmeling
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 ...
In:
The Review of Economics and Statistics
103 (2021), 5, S. 939–953
| Lukas Menkhoff, Malte Rieth, Tobias Stöhr