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The impact of FOMC announcements on currency futures markets

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  • Yiuman Tse

Abstract

We examine the impact on developed and emerging markets of the FOMC announcements on currency futures during the period 1994–2017. The effects are significant for high-yielding major currencies and emerging market currencies. Expansionary monetary policy shocks give positive returns, and contractionary shocks give negative returns, not only on the day of announcements but also three weeks before and after the announcements.

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  • Yiuman Tse, 2019. "The impact of FOMC announcements on currency futures markets," Applied Economics Letters, Taylor & Francis Journals, vol. 26(19), pages 1590-1596, November.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:19:p:1590-1596
    DOI: 10.1080/13504851.2019.1588940
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