文章基本信息

标题：How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches
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作者：Marcel Fratzscher
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2005
出版社：European Central Bank
摘要：The paper analyses whether communication and actual interventions in FX markets are successful in moving exchange rates over the medium- to long-run. It compares empirical evidence based on time-series analysis with that obtained from an eventstudy approach. Both the time-series approach based on option contracts and the event-study methodology yield compelling evidence that communication and actual interventions tend to be successful in moving exchange rates in the desired direction contemporaneously as well as over the medium- to long-term. This finding is consistent with recent work on microstructure models that emphasises the importance of dynamic effects of news and fundamentals on exchange rates.
关键词：communication; exchange rate; intervention; policy; time-series analysis;event-study methodology; United States; euro area; Japan.