Communication and Exchange Rate Policy

By Marcel Fratzscher. Social Science Research Network, 2008

133 citations recorded by the source corpus.

Monetary authorities in the G3 economies have shifted in recent years towards communication as their primary policy tool to influence exchange rates. The paper assesses the effectiveness of communication, or oral interventions, by the G3 monetary authorities. It provides two key findings. First, G3 communication policies have constituted an effective policy tool in influencing exchange rates in the desired direction. And second, communication has been effective independently from the stance and direction of monetary policy and the occurrence of actual interventions. By contrast, the effectiveness of communication is strongly related to the degree of uncertainty and the positioning of participants in FX markets. Taken together, the results provide support for micro-based approaches to exchange rate modeling and are consistent with the argument that interventions affect exchange rates primarily through a coordination channel rather than a signaling channel.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/05e36261e4e2eee155880accaa952a6d82f945a2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jakob de Haan
2. D. Jansen
3. Marcel Fratzscher
4. Michael Ehrmann
5. Axel Dreher
6. Jan-Egbert Sturm

In Finance

1. Jakob de Haan
2. D. Jansen
3. Marcel Fratzscher
4. Michael Ehrmann

Citations in the corpus

• Communication and Decision-Making by Central Bank Committees: Different Strategies, Same Effectiveness? (2005, unknown): “Jansen and de Haan (2005) for the ECB and Fratzscher (2004) for the G3 monetary authorities analyse the effect of communication on exchange rates.”
• China's Dominance Hypothesis and the Emergence of a Tri-Polar Global Currency System (2014, unknown): “This is in fact fairly large: about half the estimated average impact of the ECB President’s exchange rate statements on the USD/EUR (see also Fratzscher, 2008a); and about the same estimated average impact of Japan's Minister of Finance’s statements on the JPY/USD.”
• Look Who's Talking: ECB Communication During the First Years of Emu (2004, methodology): “Three closely related papers are Kohn and Sack (2003), Jansen and De Haan (2005) and Ehrmann and Fratzscher (2004)(2). Kohn and Sack (2003) focus on statements by the US Federal Open Market Committee and statements by Alan Greenspan. They find that market interest rates are significantly affected by”