Unconventional Monetary Policy and the Dollar: Conventional Signs, Unconventional Magnitudes

Reuven Glick and Sylvain Leduc

International Journal of Central Banking, 2018, vol. 14, issue 5, 103-152

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 to four times that following conventional policy changes prior to the 2007-08 financial crisis.

JEL-codes: E43 E5 F31 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.ijcb.org/journal/ijcb18q4a3.pdf (application/pdf)
http://www.ijcb.org/journal/ijcb18q4a3.htm (text/html)

Related works:
Working Paper: Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2018:q:4:a:3

Access Statistics for this article

International Journal of Central Banking is currently edited by Loretta J. Mester

More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements (webmaster@bis.org).