Identifying the effects of monetary policy shocks on exchange rates using high frequency data

John H. Rogers (), Jonathan Wright and Jon Faust ()
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Jon Faust: Board of Governors of the Federal Reserve - Division of International Finance,20th St. and Constitution Ave., Washington, DC 20551, USA., http://www.federalreserve.gov/
Authors registered in the RePEc Author Service: Eric Thomas Swanson ()

No 167, Working Paper Series from European Central Bank

Abstract: This paper proposes 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, we 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. We show how this information can be used to achieve identification without having to make the usual strong assumption of a recursive ordering. JEL Classification: C32; E52; F30.

Keywords: High frequency data; identification; vector autoregression; exchange rates; monetary policy. (search for similar items in EconPapers)
Date: 2002-08
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Related works:
Working Paper: Identifying the effects of monetary policy shocks on exchange rates using high frequency data (2002)
Working Paper: Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data (2003)
Journal Article: Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data (2003)
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