Communication and exchange rate policy

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in C O N T E N T S Abstract 4Non-technical summary 5

Do China and oil exporters influence major currency configurations?

“…Table 8 reports regression results over January 2000-December 2007 of an alternative specification to the benchmark empirical model where daily exchange rate returns are modelled as an exponential GARCH (EGARCH) à la Nelson (1991) in order to account for non-normality, negative skewness, excess kurtosis and serial correlation in the data (see e.g. Fratzscher, 2008c for further details). The conditional variance of the daily exchange rates is expressed as a function of past variance, innovations and oral statements.…”

“…In order to ensure that these public statements were also available to market participants in financial markets, one of the most commonly used wire services, Reuters News, was chosen to extract all news releases for the period 1 January 2000 to 31 December 2007, partly building on the database for the US, euro area and Japan in Fratzscher (2008c). These releases were obtained through Factiva.…”

“…While there is ample evidence that actual FX interventions by monetary authorities influence currency values, there is also a growing area of the literature that shows that communication can be an effective tool in guiding foreign exchange markets (Beine et al 2006;Fratzscher 2008a;De Haan 2005, 2007;Dominguez and Panthaki 2007;Siklos and Bohl forthcoming). In fact there is evidence that communication may to some extent and under some conditions be a substitute to actual interventions in that it affects markets quite independently of the latter (Fratzscher 2008c), and also that credible communication overall enhances the effectiveness of actual interventions (Egert 2007).…”

Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015

“…También para el caso de la tasa de cambio euro/dólar, Fratzscher (2008) evalúa el impacto que tiene la comunicación del Banco Central Europeo, la Reserva Federal de Estados Unidos y el Banco de Japón sobre la tasa de cambio. Los resultados que éste autor encuentra sugieren que las comunicaciones del Banco Central Europeo y la Reserva Federal permiten conducir las expectativas de la tasa de cambio hacia los niveles buscados por los bancos centrales.…”

The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate

“…Fratzscher (2004Fratzscher ( , 2005 shows that official statements of the ECB about the euro-dollar exchange rate had both short-and long-run effects on the exchange rate, and that they did not need to be accompanied by actual interventions to be effective. Jansen and de Haan (2003) point out that ECB communication only increased volatility but did not influence the level of the exchange rate during the first 5 years of EMU.…”