The impact of FOMC announcements on currency futures markets

Yiuman Tse

Applied Economics Letters, 2019, vol. 26, issue 19, 1590-1596

Abstract: We examine the impact on developed and emerging markets of the FOMC announcements on currency futures during the period 1994–2017. The effects are significant for high-yielding major currencies and emerging market currencies. Expansionary monetary policy shocks give positive returns, and contractionary shocks give negative returns, not only on the day of announcements but also three weeks before and after the announcements.

Date: 2019
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DOI: 10.1080/13504851.2019.1588940

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