Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

Jon Faust (), John Rogers, Eric Swanson and Jonathan Wright

No 9660, NBER Working Papers from National Bureau of Economic Research, Inc

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 Fed Funds futures 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-codes: C32 E52 (search for similar items in EconPapers)
Date: 2003-04
New Economics Papers: this item is included in nep-fin, nep-ifn, nep-mac, nep-mon and nep-rmg
Note: IFM ME
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Citations: View citations in EconPapers (89)

Published as Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1031-1057, 09.

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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 (2002)
Working Paper: Identifying the effects of monetary policy shocks on exchange rates using high frequency data (2002)
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