The high-frequency response of exchange rates to monetary policy actions and statements
The high-frequency response of exchange rates to monetary policy actions and statements
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汇率对货币政策行动和声明的高频反应
DOI：
10.1016/j.jbankfin.2010.09.008
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Carlo Rosa
中科院分区：
文献类型：
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作者：
Carlo Rosa
本文使用5种货币（美元对欧元、加拿大元、磅、瑞士法郎、日元）的日内数据，通过事件研究，考察了美国货币政策对汇率水平和汇率波动的影响。我构建了两个指标，分别来自政策决定和风险平衡声明的货币政策新闻。估计结果表明，政策决定和沟通都对汇率产生了经济上的巨大和高度显著的影响，报表的意外成分占了货币政策对汇率回报的大部分可解释的变化。本文还表明，汇率往往会在30- 40分钟内吸收联邦公开市场委员会的货币政策意外。
This paper investigates the impact of US monetary policy on the level and volatility of exchange rates using an event study with intraday data for five currencies (the US dollar exchange rate versus the euro, the Canadian dollar, the British pound, the Swiss franc, and the Japanese yen). I construct two indicators of news about monetary policy stemming separately from policy decisions and from balance of risk statements. Estimation results show that both policy decisions and communication have economically large and highly significant effects on the exchange rates, with the surprise component of statements accounting for most of the explainable variation in exchange rate returns in response to monetary policy. This paper also shows that exchange rates tend to absorb FOMC monetary surprises within 30–40min from the announcement release.