Some empirical evidence on the effects of U.S. monetary policy shocks on cross exchange rates

Sarantis Kalyvitis and Ifigeneia Skotida

The Quarterly Review of Economics and Finance, 2010, vol. 50, issue 3, 386-394

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 a U.S. monetary policy shock.

Keywords: Monetary; policy; Delayed; overshooting; Foreign; exchange; intervention (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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Working Paper: Some Empirical Evidence on the Effects of U.S. Monetary Policy Shocks on Cross Exchange Rates (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:50:y:2010:i:3:p:386-394

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