The effects of conventional and unconventional monetary policy on exchange rate volatility

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-19

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: Foreign exchange ; High-frequency data ; Monetary policy announcements ; Unconventional Monetary Policy ; Volatility

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Wei, Wan ; Pozo, Susan
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2021

Further information

• DOI: doi:10.1080/23322039.2021.1997425
• Handle: http://hdl.handle.net/10419/270174
• Last update: 10.03.2025, 11:42 AM CET