The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements
Open access
Date
2007-09Type
- Working Paper
ETH Bibliography
yes
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Abstract
We investigate the impact of the European Central Bank’s monetary policy announcements on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the interest rate decision, the ECB’s introductory statement and the question and answer session. Surprise interest rate changes explain the movements in the exchange rate immediately after press release. During the introductory statement, communication with respect to future price developments is most relevant and has two important functions: (i) it explains the previously announced decision and (ii) it serves as a guide for the future path of monetary policy. Show more
Permanent link
https://doi.org/10.3929/ethz-a-005476100Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
INFORMATION POLICY (POLITICS); ZINSSATZ; INTEREST RATE; INFORMATIONSPOLITIK (POLITIK); Exchange rate; Communication; NATIONAL BANKS + CENTRAL BANKS; GELDPOLITIK; MONETARY POLICY; European Central Bank; Monetary policy announcements; Long memory GARCH processes; WECHSELKURS; EXCHANGE RATE; NATIONALBANKEN + ZENTRALBANKENOrganisational unit
03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
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Is source of: https://doi.org/10.3929/ethz-b-000125207
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ETH Bibliography
yes
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