Foreign Exchange Intervention: A New Database

62 Pages Posted: 23 Nov 2020

See all articles by Marcel Fratzscher

Marcel Fratzscher

German Institute for Economic Research (DIW Berlin)

Tobias Heidland

affiliation not provided to SSRN

Lukas Menkhoff

German Institute for Economic Research (DIW Berlin); Humboldt University of Berlin - Faculty of Economics

Lucio Sarno

affiliation not provided to SSRN

Maik Schmeling

Goethe University Frankfurt - Department of Finance; Centre for Economic Policy Research (CEPR)

Date Written: November 2020

Abstract

We construct a novel database of monthly foreign exchange interventions for 49 countries over up to 22 years. We build on a text classification approach that extracts information about interventions from news articles and calibrate our procedure to data about actual interventions. Our new dataset allows us to document stylized facts about the use of foreign exchange interventions for countries that neither publish their data nor make them available to researchers. Moreover, we show that foreign exchange interventions are used in a complementary way with capital controls and macroprudential regulation.

Keywords: Foreign exchange intervention, capital controls, macroprudential regulation, international capitalflows

JEL Classification: F31,F33,E58

Suggested Citation

Fratzscher, Marcel and Heidland, Tobias and Menkhoff, Lukas and Sarno, Lucio and Schmeling, Maik, Foreign Exchange Intervention: A New Database (November 2020). DIW Berlin Discussion Paper No. 1915, Available at SSRN: https://ssrn.com/abstract=3735833 or http://dx.doi.org/10.2139/ssrn.3735833

Marcel Fratzscher

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Tobias Heidland

affiliation not provided to SSRN

Lukas Menkhoff (Contact Author)

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Humboldt University of Berlin - Faculty of Economics ( email )

Spandauer Strasse 1
Berlin
Germany

Lucio Sarno

affiliation not provided to SSRN

Maik Schmeling

Goethe University Frankfurt - Department of Finance ( email )

House of Finance
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, Hessen 60323
Germany

HOME PAGE: http://sites.google.com/site/maikschmeling/

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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