Federal Reserve Bank of San Francisco
Working Paper Series
Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes
We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in interest rate future prices in narrow windows around policy announcements, we find that monetary policy surprises since the Federal Reserve lowered its policy rate to the effective lower bound have had larger effects on the value of the dollar. In particular, we document that the impact on the dollar has been roughly three times that following conventional policy changes prior to the 2007-08 financial crisis.
Cite this item
Reuven Glick & Sylvain Leduc, Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes, Federal Reserve Bank of San Francisco, Working Paper Series 2015-18, 29 Nov 2015.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- F31 - International Economics - - International Finance - - - Foreign Exchange
This item with handle RePEc:fip:fedfwp:2015-18
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