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Some Empirical Evidence on the Effects of U.S. Monetary Policy Shocks on Cross Exchange Rates

  • Sarantis Kalyvitis

    ()

    (Athens University of Economics and Business)

  • Ifigeneia Skotida

    (Bank of Greece and Athens University of Economics and Businesso)

This paper examines the impact of U.S. monetary policy shocks on the cross exchange rates of sterling, yen and mark. The main finding of the paper is a ‘delayed overshooting’ pattern for all currency cross rates examined (sterling/yen, yen/mark and mark/sterling) following an unexpected U.S. monetary policy change, which in turn generates excess returns. We also provide evidence that the ‘delayed overshooting’ pattern in cross exchange rates is accompanied by asymmetric interventions by central banks in the foreign exchange markets under consideration triggered by U.S. monetary policy shocks.

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Paper provided by Bank of Greece in its series Working Papers with number 65.

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Length: 33 pages
Date of creation: Jan 2008
Date of revision:
Handle: RePEc:bog:wpaper:65
Contact details of provider: Web page: http://www.bankofgreece.gr

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