Central banks should be careful about their likely interventions in foreign exchange because there is a cost for any intervention. In this paper, we focus on examining the macroeconomic consequences of foreign exchange intervention (FXI) and exchange rate rigidity in the hopes of gathering some insights for the choice of exchange rate system and the effectiveness of the FX Interventions. The study utilizes Time Varying Vector Autoregressive (TV-VAR) model with monthly data. The study found FXI has significant effect on exchange rate, while, the effect of FXI shock on exchange rate and exchange rate volatility before devaluation is higher than after devaluation; the effect of exchange rate on inflation is higher after devaluation and this reflects the higher pass-through effect of exchange rate on inflation that increases with devaluation in developing countries. This paper try to investigate The Macroeconomic Impacts of foreign Exchange Intervention in the Emerging Economies and it is divided into 5 parts.