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| Tekijä: | Faust, J. (et al.) |
| Otsikko: | Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
| Lehti: | Journal of the European Economic Association
2003 : SEP, VOL. 1:5, p. 1031-1057 |
| Asiasana: | Monetary policy Exchange rates Autoregression |
| Kieli: | eng |
| Tiivistelmä: | 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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