search query: @author Faust, J. (et al.) / total: 1
reference: 1 / 1
« previous | next »
| Author: | Faust, J. (et al.) |
| Title: | Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
| Journal: | Journal of the European Economic Association
2003 : SEP, VOL. 1:5, p. 1031-1057 |
| Index terms: | Monetary policy Exchange rates Autoregression |
| Language: | eng |
| Abstract: | The authors propose a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, they measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on financial variables, such as the exchange rate and the foreign interest rate. |
« previous | next »
SCIMA