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Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes

Reuven Glick and Sylvain Leduc

No 2015-18, Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in interest rate future prices in narrow windows around policy announcements, we find that monetary policy surprises since the Federal Reserve lowered its policy rate to the effective lower bound have had larger effects on the value of the dollar. In particular, we document that the impact on the dollar has been roughly three times that following conventional policy changes prior to the 2007-08 financial crisis.

JEL-codes: E43 E5 F31 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2015-11-29
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac, nep-mon, nep-mst and nep-opm
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Citations: View citations in EconPapers (14)

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Journal Article: Unconventional Monetary Policy and the Dollar: Conventional Signs, Unconventional Magnitudes (2018) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfwp:2015-18

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DOI: 10.24148/wp2015-18

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