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

Sarantis Kalyvitis and Ifigeneia Skotida

No 65, Working Papers from Bank of Greece

Abstract: 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.

Keywords: Monetary Policy; Delayed Overshooting; Foreign Exchange Intervention (search for similar items in EconPapers)
JEL-codes: E52 F31 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2008-01
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Journal Article: Some empirical evidence on the effects of U.S. monetary policy shocks on cross exchange rates (2010)
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