An edition of Identifying the effects of monetary policy shocks on exchange rates using figh frequency data (2002)

Identifying the effects of monetary policy shocks on exchange rates using figh frequency data

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Identifying the effects of monetary policy sh ...
Jon Faust
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Last edited by MARC Bot
December 11, 2020 | History
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An edition of Identifying the effects of monetary policy shocks on exchange rates using figh frequency data (2002)

Identifying the effects of monetary policy shocks on exchange rates using figh frequency data

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"This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on financial variables, such as the exchange rate and the foreign interest rate. We show how this information can be used to achieve identification without having to make the usual strong assumption of a recursive ordering"--Federal Reserve Board web site.

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Publisher
Federal Reserve Board
Language
English

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Cover of: Identifying the effects of monetary policy shocks on exchange rates using figh frequency data
Identifying the effects of monetary policy shocks on exchange rates using figh frequency data
2002, Federal Reserve Board
Electronic resource in English
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Book Details

Edition Notes

Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 10/8/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.

Published in
Washington, D.C
Series
International finance discussion papers ;, no. 739, International finance discussion papers (Online) ;, no. 739.

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL3390500M
LCCN
2004620179

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Library of Congress MARC record

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Download catalog record: RDF / JSON / OPDS | Wikipedia citation
December 11, 2020 Edited by MARC Bot import existing book
July 31, 2012 Edited by VacuumBot Updated format '[electronic resource] /' to 'Electronic resource'
October 31, 2008 Edited by ImportBot add URIs from original MARC record
April 1, 2008 Created by an anonymous user Imported from Scriblio MARC record