High-Frequency Analysis of Foreign Exchange Interventions: What Do We Learn?

By Lukas Menkhoff. Social Science Research Network, 2010

139 citations recorded by the source corpus.

The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run as they are regarded as information; but they can reduce volatility overall. Ways of transmission may reach beyond the signaling channel and also include the portfolio balance and a damping channel. Finally, interventions are more successful if they obey certain conditions, such as being coordinated among central banks and going with the market and fundamentals.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7c412a60b3e28db6cffac1ae36b7abc17e8b9eb5

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

In Finance

Citations in the corpus

Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates (2012, background): “See Menkhoff (2010) for a discussion on foreign exchange interventions. rate determination provide inferior out-of-sample forecasts to those implied by a MDS, many studies strived to uncover the empirical regularities in exchange rate behavior.”
A High Frequency Assessment of the ECB Securities Markets Programme (2017, unknown): “Menkhoff (2010), several authors have employed high-frequency estimation to avoid the simultaneity bias and offer ways to deal with endogeneity.”