scholarly journals Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

10.3386/w9660 ◽  
2003 ◽  
Author(s):  
Jon Faust ◽  
John Rogers ◽  
Eric Swanson ◽  
Jonathan Wright
Keyword(s):  
Monetary Policy ◽  
Exchange Rates ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Monetary Policy Shocks ◽  
Policy Shocks

scholarly journals Robust Inference in Models Identified via Heteroskedasticity

2020 ◽  
pp. 1-45
Author(s):  
Daniel J. Lewis
Keyword(s):  
High Frequency ◽  
Simultaneous Equations ◽  
Robust Inference ◽  
High Frequency Data ◽  
Frequency Data ◽  
Monetary Policy Shocks ◽  
Weak Identification ◽  
Daily Data ◽  
Policy Shocks ◽  
Intraday Data

Identification via heteroskedasticity exploits variance changes between regimes to identify parameters in simultaneous equations. Weak identification occurs when shock variances change very little or multiple variances change close-toproportionally, making standard inference unreliable. I propose an F-test for weak identification in a common simple version of the model. More generally, I establish conditions for validity of non-conservative robust inference on subsets of the parameters, which can be used to test for weak identification. I study monetary policy shocks identified using heteroskedasticity in high frequency data. I detect weak identification, invalidating standard inference, in daily data, while intraday data provides strong identification.

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using Figh Frequency Data

2002 ◽  
Vol 2002 (0739) ◽  
pp. 1-47 ◽  
Author(s):  
Jon Faust ◽  
◽  
John Harold Rogers ◽  
Eric T. Swanson ◽  
Jonathan H. Wright
Keyword(s):  
Monetary Policy ◽  
Exchange Rates ◽  
Frequency Data ◽  
Monetary Policy Shocks ◽  
Policy Shocks

scholarly journals Testing the Dimensionality of Policy Shocks

2021 ◽  
pp. 1-42
Author(s):  
Jia Li ◽  
Viktor Todorov ◽  
Qiushi Zhang
Keyword(s):  
Monetary Policy ◽  
High Frequency ◽  
Yield Curve ◽  
Asset Returns ◽  
Nonparametric Test ◽  
High Frequency Data ◽  
Monetary Policy Shocks ◽  
Jump Matrix ◽  
Before And After ◽  
Policy Shocks

Abstract This paper provides a nonparametric test for deciding the dimensionality of a policy shock as manifest in the abnormal change in asset returns' stochastic covariance matrix, following the release of a macroeconomic announcement. We use high-frequency data in local windows before and after the event to estimate the covariance jump matrix, and then test its rank. We find a one-factor structure in the covariance jump matrix of the yield curve resulting from the Federal Reserve's monetary policy shocks prior to the 2007-2009 financial crisis. The dimensionality of policy shocks increased afterwards due to the use of unconventional monetary policy tools.

scholarly journals Monetary Policy Surprises, Credit Costs, and Economic Activity

2015 ◽  
Vol 7 (1) ◽  
pp. 44-76 ◽  
Author(s):  
Mark Gertler ◽  
Peter Karadi
Keyword(s):  
Monetary Policy ◽  
High Frequency ◽  
Monetary Policy Shocks ◽  
Var Analysis ◽  
Financial Variables ◽  
Forward Guidance ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Term Premia ◽  
Transmission Of Monetary Policy

We provide evidence on the transmission of monetary policy shocks in a setting with both economic and financial variables. We first show that shocks identified using high frequency surprises around policy announcements as external instruments produce responses in output and inflation that are typical in monetary VAR analysis. We also find, however, that the resulting “modest” movements in short rates lead to “large” movements in credit costs, which are due mainly to the reaction of both term premia and credit spreads. Finally, we show that forward guidance is important to the overall strength of policy transmission. (JEL E31, E32, E43, E44, E52, G01)

scholarly journals Keynes and the dollar in 1933: the gold-buying program and exchange rate gyrations

2017 ◽  
Vol 24 (3) ◽  
pp. 209-238 ◽  
Author(s):  
Sebastian Edwards
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Gold Standard ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Open Letter ◽  
The Ideal

In December 1933, John Maynard Keyes published an open letter to President Roosevelt, where he wrote: ‘The recent gyrations of the dollar have looked to me more like a gold standard on the booze than the ideal managed currency of my dreams.’ This was a criticism of the ‘gold-buying program’ launched in October 1933. In this article I use high-frequency data on the dollar–pound and dollar–franc exchange rates to investigate whether the gyrations of the dollar were unusually high in late 1933. My results show that although volatility was pronounced, it was not higher than during some other periods after 1921. Moreover, dollar volatility began to subside towards the end of the period alluded to by Keynes.

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