Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152601
Authors: 
Faust, Jon
Rogers, John H.
Swanson, Eric
Wright, Jonathan H.
Year of Publication: 
2002
Series/Report no.: 
ECB Working Paper 167
Abstract: 
This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of eurodollar contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on financial variables, such as the exchange rate and the foreign interest rate. We show how this information can be used to achieve identification without having to make the usual strong assumption of a recursive ordering.
Subjects: 
Exchange Rates
High Frequency Data
Identification
monetary policy
Vector autoregression
JEL: 
C32
E52
F30
Document Type: 
Working Paper

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