TY  - JOUR
A1  - Gründler, Daniel
A1  - Mayer, Eric
A1  - Scharler, Johann
T1  - Monetary policy announcements, information shocks, and exchange rate dynamics
JF  - Open Economies Review
N2  - We study nominal exchange rate dynamics in the aftermath of U.S. monetary policy announcements. Using high-frequency interest rate and stock price movements around FOMC announcements, we distinguish between pure monetary policy shocks and information shocks, which are associated with new information contained in the announcements. Contractionary pure policy shocks give rise to a strong, but transitory, appreciation on impact. Information shocks also appreciate the exchange rate, but the effect builds up only slowly over time and is highly persistent. Thus, we conclude that although the short-run effects on the exchange rate are primarily due to pure policy shocks, the medium-run response is driven by information effects.
KW  - central bank information
KW  - high-frequency identification
KW  - proxy VAR
KW  - exchange rate dynamics
Y1  - 2023
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:bvb:20-opus-325175
SN  - 0923-7992
VL  - 34
IS  - 2
ER  -