The Effects of Unconventional and Conventional U.S. Monetary Policy on the Dollar

Reuven Glick and Sylvain Leduc

No 2013-11, Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: We examine the effects of unconventional and conventional monetary policy announcements on the value of the dollar using high-frequency intraday data. Identifying monetary policy surprises from changes in interest rate futures prices in narrow windows around policy announcements, we find that surprise easings in monetary policy since the crisis began have had significant effects on the value of the dollar. We document that these changes are comparable to the effects of conventional policy changes prior to the crisis.

Keywords: Dollar; Monetary policy (search for similar items in EconPapers)
Pages: 34 pages
Date: 2013-05-16
New Economics Papers: this item is included in nep-ifn and nep-mon
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfwp:2013-11

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DOI: 10.24148/wp2013-11

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