Beitrag, Deutsch, Taylor & Fancis Group
Autor: Prof. Dr. Ansgar Belke
Herausgeber / Co-Autor: Beckmann, Joscha; Kühl, Michael
Erscheinungsdatum: 2015
Quelle: Applied Economics, Vol. 47/38
Seitenangabe: 4037-4055
Aufrufe gesamt: 3, letzte 30 Tage: 1
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.
DE, Essen
Inhaber des Jean-Monnet Lehrstuhls VWL, insbes. Makroökonomik an der Universität Duisburg-Essen
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