TITLE

Monetary Policy's Role in Exchange Rate Behavior

AUTHOR(S)
Faust, Jon; Rogers, John H.
PUB. DATE
January 1999
SOURCE
Working Papers -- U.S. Federal Reserve Board's International Fin;1999, p1
SOURCE TYPE
Working Paper
DOC. TYPE
Working Paper
ABSTRACT
This paper investigates the role of monetary policy in the behavior of exchange rates. The authors apply an inference procedure that allows them to reduce ambiguous assumptions. Their work overturns some of the prior research results and strengthens others. They suggest that, 1) the peak exchange rate effect of policy shocks may occur immediately after the shock, 2) monetary policy shocks lead to large uncovered interest rate parity (UIP) deviations, and 3) monetary policy shocks may account for a smaller portion of the variance of exchange rates than found in earlier estimates. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.
ACCESSION #
9994429

 

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