Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur?
This paper addresses whether exchange rates respond to changes in expectations of future U.S. monetary policy when no actual monetary policy changes occur. We employ data on Federal funds futures contracts for extracting a measure of policy expectations, control for the surprise element of macroeconomic news and policy developments, and analyze more than 12 years of daily exchange rate data. Our findings show that continuous day-to-day changes in expectations of future monetary policy are associated in a highly significant and systematic way with day-to-day changes in exchange rates even when no actual monetary policy changes occur. This suggests that monetary policy matters for daily exchange rate determination in more ways than merely through infrequent, actual policy changes.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 38 (2006)
Issue (Month): 6 (September)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879|
When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:38:y:2006:i:6:p:1641-1657. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.