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Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?
Fatum, Rasmus; Scholnick, Barry - 2005
This paper shows that exchange rates respond to only the surprise component of an actual US monetary policy change and that failure to disentangle the surprise component from the actual monetary policy change can lead to an underestimation of the impact of monetary policy, or even to a false...
Persistent link: https://www.econbiz.de/10010320908
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Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market
Fatum, Rasmus; Scholnick, Barry - 2003
day-to-day changes in expectations of future US monetary policy, in the context of a study of day-to-day exchange rate … changes. We analyze more than 12 years of daily exchange rate data and show that continuous day-to-day changes in expectations …
Persistent link: https://www.econbiz.de/10010320954
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US shocks and global exchange rate configurations
Fratzscher, Marcel - 2007
The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of … exchange rate configurations over the past 25 years. Despite a significant decline over time, this heterogeneity remains high … effective US dollar exchange rate. The paper finds that this heterogeneity is not only due to policy choices of inflexible …
Persistent link: https://www.econbiz.de/10011604881
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Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate
Reitz, Stefan - 2002
bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are …
Persistent link: https://www.econbiz.de/10010295734
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Home bias, transactions costs, and prospects for the Euro: A more detailed analysis
Mann, Catherine L.; Meade, Ellen E. - 2002
This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. The empirical findings...
Persistent link: https://www.econbiz.de/10010301750
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The reaction of exchange rates and interest rates of news releases
Kreuter, Christof; Gottschling, Andreas; Cornelius, Peter - 1998
This note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the...
Persistent link: https://www.econbiz.de/10010301765
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China's exchange rate impasse and the weak U.S. dollar
McKinnon, Ronald; Schnabl, Gunther - 2008
In assessing Alexander Swoboda's great influence on economics, two themes stand out: the determinants of global inflation, particularly in the 1970s, and the choice of an exchange rate regime consistent with domestic monetary and fiscal policies. Although seemingly narrowly focused on China, our...
Persistent link: https://www.econbiz.de/10010304732
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Exchange rate market expectations and Central Bank policy: The case of the Mexican peso-US dollar from 2005-2009
Abarca, Gustavo; Benavides, Guillermo; Rangel, José Gonzalo - 2010
We examine two approaches characterized by different tail features to extract market expectations on the Mexican peso …-US dollar exchange rate. Expectations are gauged by risk-neutral densities. The methods used to estimate these densities are the …
Persistent link: https://www.econbiz.de/10010322542
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10010333621
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - 2009
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10011605106