Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven

Joscha Beckmann and Robert Czudaj

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: We analyze and evaluate novel data on exchange rate expectations after the collapse of Lehman Brothers for more than 60 economies over different horizons. We find that monetary policy effects on expectations are time-varying and identify substantial international spillovers over the recent period. Our results also show that markets have been surprised by monetary policy effects on the exchange rates and point to an unexpected safe haven status of the US dollar after 2009.

JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cba and nep-mon
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Citations: View citations in EconPapers (26)

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Journal Article: Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168291

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