The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements

Arbeitspapier

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the interest rate decision, the ECB's introductory statement and the question and answer session. Surprise interest rate changes explain the movements in the exchange rate immediately after press release. During the introductory statement, communication with respect to future price developments is most relevant and has two important functions: (i) it explains the previously announced decision and (ii) it serves as a guide for the future path of monetary policy.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: KOF Working Papers ; No. 174

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Monetary Policy ; Central Banks and Their Policies ; Foreign Exchange
• Subject: European Central Bank ; monetary policy announcements ; communication ; exchange rate ; expectations ; long memory GARCH processes ; Geldpolitik ; Staatliche Information ; Volatilität ; Wechselkurs ; Euro ; US-Dollar ; ARCH-Modell ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Conrad, Christian ; Lamla, Michael J.
• Event: Veröffentlichung
• (who): ETH Zurich, KOF Swiss Economic Institute
• (where): Zurich
• (when): 2007

Further information

• DOI: doi:10.3929/ethz-a-005476100
• Handle: http://hdl.handle.net/10419/50343
• Last update: 10.03.2025, 11:42 AM CET