2013-11 | May 2013
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The Effects of Unconventional and Conventional U.S. Monetary Policy on the Dollar
We examine the effects of unconventional and conventional monetary policy announcements on the value of the dollar using high-frequency intraday data. Identifying monetary policy surprises from changes in interest rate futures prices in narrow windows around policy announcements, we find that surprise easings in monetary policy since the crisis began have had significant effects on the value of the dollar. We document that these changes are comparable to the effects of conventional policy changes prior to the crisis.
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Glick, Reuven, and Sylvain Leduc. 2013. "The Effects of Unconventional and Conventional U.S. Monetary Policy on the Dollar," Federal Reserve Bank of San Francisco Working Paper 2013-11. Available at https://doi.org/10.24148/wp2013-11