Has the Dollar Become More Sensitive to Interest Rates?

John Fernald (), Thomas Mertens and Patrick Shultz

FRBSF Economic Letter, 2017

Abstract: Interest rates in the United States have diverged from the rates of other countries over the past few years. Some commentators have voiced concerns that, as a result, exchange rates might be more sensitive to unanticipated changes in U.S. interest rates now than they were historically. However, an examination of market-based measures of policy expectations finds no convincing evidence that the U.S. dollar has become more sensitive since 2014.

Date: 2017
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