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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Autores principales: Wan Wei, Susan Pozo
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Lenguaje:EN
Publicado: Taylor & Francis Group 2021
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Acceso en línea:https://doaj.org/article/6cbf6d3452a2418c9e2e2ae8d3530ba0
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spelling 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)
institution DOAJ
collection DOAJ
language EN
topic foreign exchange
volatility
unconventional monetary policy
monetary policy announcements
high-frequency data
Finance
HG1-9999
Economic theory. Demography
HB1-3840
spellingShingle 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
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