Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/82084 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
EPRU Working Paper Series No. 2003-18
Verlag: 
University of Copenhagen, Economic Policy Research Unit (EPRU), Copenhagen
Zusammenfassung: 
This paper is the first to utilize the informational content embodied in Federal funds futures contracts for extracting day-to-day changes in expectations of future US monetary policy, in the context of a study of day-to-day exchange rate changes. We analyze more than 12 years of daily exchange rate data and show that continuous day-to-day changes in expectations of future US monetary policy has a significant and systematic impact on day-to-day changes in exchange rates. Our results imply that monetary policy matters for daily exchange rate determination in more ways than merely through infrequent, actual policy changes. Furthermore, when focusing on the actual monetary policy changes, the paper confirms that only the unexpected element of a policy change impacts exchange rates. The presented findings are generally consistent with the notion that exchange rates are forward-looking asset prices.
Schlagwörter: 
expectations
monetary policy
federal funds futures
exchange rates
JEL: 
E52
F31
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
521.31 kB





Publikationen in EconStor sind urheberrechtlich geschützt.