Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311815 
Year of Publication: 
2022
Citation: 
[Journal:] Open Economies Review [ISSN:] 1573-708X [Volume:] 34 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2022 [Pages:] 341-369
Publisher: 
Springer US, New York, NY
Abstract: 
We study nominal exchange rate dynamics in the aftermath of U.S. monetary policy announcements. Using high-frequency interest rate and stock price movements around FOMC announcements, we distinguish between pure monetary policy shocks and information shocks, which are associated with new information contained in the announcements. Contractionary pure policy shocks give rise to a strong, but transitory, appreciation on impact. Information shocks also appreciate the exchange rate, but the effect builds up only slowly over time and is highly persistent. Thus, we conclude that although the short-run effects on the exchange rate are primarily due to pure policy shocks, the medium-run response is driven by information effects.
Subjects: 
Central bank information
High-frequency identification
Proxy-VAR
Exchange rate dynamics
JEL: 
E44
E52
E30
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.