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Unconventional monetary policy and the dollar–euro exchange rate: first results from time-series analysis

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  • Simón Sosvilla-Rivero
  • Natalia Fernández-Fernández

Abstract

This article examines the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (Fed) and the European Central Bank (ECB). To that end, we make use of time-series analysis to obtain a reasonable long-run and short run representation of the data generation process and use dummy variables to study how announcements about monetary policy changes can affect the USD–EUR exchange rate. Our results indicate that the announcement and subsequent implementation of such measures by the ECB would have caused an appreciation of the dollar, while those by the Fed would have caused a depreciation of the dollar.

Suggested Citation

  • Simón Sosvilla-Rivero & Natalia Fernández-Fernández, 2016. "Unconventional monetary policy and the dollar–euro exchange rate: first results from time-series analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 23(10), pages 732-735, July.
    • Handle: RePEc:taf:apeclt:v:23:y:2016:i:10:p:732-735
    DOI: 10.1080/13504851.2015.1102841
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    Cited by:

    1. Ouerk, Salima, 2023. "ECB unconventional monetary policy and volatile bank flows: Spillover effects on emerging market economies," International Economics, Elsevier, vol. 173(C), pages 175-211.

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