The effects of conventional and unconventional monetary policy on exchange rate volatility
This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy announcem...
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Taylor & Francis Group
2021
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oai:doaj.org-article:6cbf6d3452a2418c9e2e2ae8d3530ba02021-11-11T14:23:43ZThe effects of conventional and unconventional monetary policy on exchange rate volatility2332-203910.1080/23322039.2021.1997425https://doaj.org/article/6cbf6d3452a2418c9e2e2ae8d3530ba02021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23322039.2021.1997425https://doaj.org/toc/2332-2039This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy announcements and high frequency second-by-second intraday data are used in the analysis. Results show that the exchange rate volatility increases significantly in the narrow window before and after the announcements under conventional monetary policy regime. The increase in the volatility is even greater during the contemporaneous period under the unconventional regime. Dividing monetary policy announcements into expansionary and non-expansionary groups, we further find that exchange rate volatility responds stronger to the non-expansionary announcements compared to the expansionary ones under the unconventional monetary policy regime.Wan WeiSusan PozoTaylor & Francis Grouparticleforeign exchangevolatilityunconventional monetary policymonetary policy announcementshigh-frequency dataFinanceHG1-9999Economic theory. DemographyHB1-3840ENCogent Economics & Finance, Vol 9, Iss 1 (2021) |
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DOAJ |
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foreign exchange volatility unconventional monetary policy monetary policy announcements high-frequency data Finance HG1-9999 Economic theory. Demography HB1-3840 |
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foreign exchange volatility unconventional monetary policy monetary policy announcements high-frequency data Finance HG1-9999 Economic theory. Demography HB1-3840 Wan Wei Susan Pozo The effects of conventional and unconventional monetary policy on exchange rate volatility |
description |
This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy announcements and high frequency second-by-second intraday data are used in the analysis. Results show that the exchange rate volatility increases significantly in the narrow window before and after the announcements under conventional monetary policy regime. The increase in the volatility is even greater during the contemporaneous period under the unconventional regime. Dividing monetary policy announcements into expansionary and non-expansionary groups, we further find that exchange rate volatility responds stronger to the non-expansionary announcements compared to the expansionary ones under the unconventional monetary policy regime. |
format |
article |
author |
Wan Wei Susan Pozo |
author_facet |
Wan Wei Susan Pozo |
author_sort |
Wan Wei |
title |
The effects of conventional and unconventional monetary policy on exchange rate volatility |
title_short |
The effects of conventional and unconventional monetary policy on exchange rate volatility |
title_full |
The effects of conventional and unconventional monetary policy on exchange rate volatility |
title_fullStr |
The effects of conventional and unconventional monetary policy on exchange rate volatility |
title_full_unstemmed |
The effects of conventional and unconventional monetary policy on exchange rate volatility |
title_sort |
effects of conventional and unconventional monetary policy on exchange rate volatility |
publisher |
Taylor & Francis Group |
publishDate |
2021 |
url |
https://doaj.org/article/6cbf6d3452a2418c9e2e2ae8d3530ba0 |
work_keys_str_mv |
AT wanwei theeffectsofconventionalandunconventionalmonetarypolicyonexchangeratevolatility AT susanpozo theeffectsofconventionalandunconventionalmonetarypolicyonexchangeratevolatility AT wanwei effectsofconventionalandunconventionalmonetarypolicyonexchangeratevolatility AT susanpozo effectsofconventionalandunconventionalmonetarypolicyonexchangeratevolatility |
_version_ |
1718438943268012032 |