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

Jon Faust, John Rogers, Eric Swanson and Jonathan Wright

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 eurodollar 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: exchange rates; high frequency data; identification; monetary policy; vector autoregression (search for similar items in EconPapers)
Date: 2002-08
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Citations: View citations in EconPapers (21)

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Related works:
Journal Article: Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data (2003)
Working Paper: Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data (2003)
Working Paper: Identifying the effects of monetary policy shocks on exchange rates using high frequency data (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2002167

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