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Identifying the effects of monetary policy shocks on exchange rates using high frequency data
Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - 2002
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...
Persistent link: https://www.econbiz.de/10011604213
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The high-frequency response of exchange rates and interest rates to macroeconomic announcements
Faust, Jon; Rogers, John H.; Wang, Shing-Yi B.; Wright, … - In: Journal of monetary economics 54 (2007) 4, pp. 1051-1068
Persistent link: https://www.econbiz.de/10003465294
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Border prices and retail prices
Berger, David; Faust, Jon; Rogers, John H.; Steverson, Kai - 2009
Persistent link: https://www.econbiz.de/10009269023
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News and noise in G-7 GDP announcements
Faust, Jon; Rogers, John H.; Wright, Jonathan H. - In: Journal of money, credit and banking : JMCB 37 (2005) 3, pp. 403-419
Persistent link: https://www.econbiz.de/10003012653
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An empirical comparison of Bundesbank and ECB monetary policy rules
Faust, Jon; Rogers, John H.; Wright, Jonathan H. - 2001
Persistent link: https://www.econbiz.de/10001597841
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Identifying the effects of monetary policy shocks on exchange rates using high frequency data
Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - 2002
Persistent link: https://www.econbiz.de/10001715318
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Exchange rate forecasting : the errors we've really made
Faust, Jon; Rogers, John H.; Wright, Jonathan H. - 2001
Persistent link: https://www.econbiz.de/10001629737
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The high-frequency response of exchange rates and interest rates to macroeconomic announcements
Faust, Jon; Rogers, John H.; Wang, Shing-Yi; Wright, … - 2003
Persistent link: https://www.econbiz.de/10001814048
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Monetary policy's role in exchange rate behavior
Faust, Jon; Rogers, John H. - In: Journal of monetary economics 50 (2003) 7, pp. 1403-1424
Persistent link: https://www.econbiz.de/10001817474
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Identifying the effects of monetary policy shocks on exchange rates using high frequency data
Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - In: Journal of the European Economic Association 1 (2003) 5, pp. 1031-1057
Persistent link: https://www.econbiz.de/10001824463