search query: @indexterm EXCHANGE RATES / total: 1242
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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. |
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