Document Type
Article
Publication Date
1-1-2021
Department
School of Business
Abstract
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.
DOI
10.1080/23322039.2021.1997425
Volume
9
Issue
1
ISSN
23322039
Recommended Citation
Wei, Wan and Pozo, Susan, "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rate Volatility" (2021). Faculty Publications -School of Business. 8.
https://orc.library.atu.edu/faculty_pub_bus/8
Comments
Original Citation:
Wan Wei & Susan Pozo (2021) The effects of conventional and unconventional monetary policy on exchange rate volatility, Cogent Economics & Finance, 9:1, 1997425, DOI: 10.1080/23322039.2021.1997425
© 2021 The Author(s).
This work is licensed under a Creative Commons Attribution 4.0 International License.