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Spillovers to exchange rates from monetary and macroeconomic communications events

Enzo Rossi () and Vincent Wolff ()

No 2020-18, Working Papers from Swiss National Bank

Abstract: We study the tightness of the link between U.S. monetary and macroeconomic communication events and the exchange rate movements against the USD of four major currencies - the euro, the Swiss franc, the Brazilian real and the Mexican peso - since the global financial crisis (GFC). We find three main results. Approximately 20 percent of the U.S. communications events were associated with statistically significant exchange rate effects. Unconventional and conventional monetary policy announcements had equal impacts. The reactions of the advanced countries' currencies were more in line with each another than with those of the emerging markets' currencies.

Keywords: Central bank communication; macroeconomic news; exchange rates; event study (search for similar items in EconPapers)
JEL-codes: C22 E58 F31 G14 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2020
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac, nep-mon and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2020-18

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