Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

@inproceedings{Wright2002IdentifyingTE,
  title={Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data},
  author={Jon Faust John H. Rogers Eric Swanson Jonathan H. Wright},
  year={2002}
}
This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression.Using high-frequencydata on the prices of Fed Funds futures contracts,we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on Ž nancial variables, such as the exchange rate and the foreign interest rate. We show how this information can be used to achieve identiŽ cation without having to make the usual strong assumption of a… CONTINUE READING
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