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Unconventional Monetary Policy and the Dollar: Conventional Signs, Unconventional Magnitudes

Author

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  • Reuven Glick

    (Federal Reserve Bank of San Francisco)

  • Sylvain Leduc

    (Bank of Canada)

Abstract

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 to four times that following conventional policy changes prior to the 2007-08 financial crisis.

Suggested Citation

  • Reuven Glick & Sylvain Leduc, 2018. "Unconventional Monetary Policy and the Dollar: Conventional Signs, Unconventional Magnitudes," International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 103-152, December.
    • Handle: RePEc:ijc:ijcjou:y:2018:q:4:a:3
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    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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