Monetary Shocks at High-Frequency and Their Changing FX Transmission Around the Globe

Released on by Massimo Ferrari
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  • Monetary Shocks at High-Frequency and Their Changing FX Transmission Around the Globe Book Detail

  • Author : Massimo Ferrari
  • Release Date : 2016
  • Publisher :
  • Genre :
  • Pages : 67
  • ISBN 13 :
  • File Size : 34,34 MB
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Monetary Shocks at High-Frequency and Their Changing FX Transmission Around the Globe by Massimo Ferrari PDF Summary

Book Description: We show that the impact of monetary policy on exchange rates has been growing significantly in recent years. Our results are established by a high-frequency event study of how key fixed income instruments - Overnight-Index Swaps (OIS) and Bonds - respond jointly with exchange rates to news about monetary policy from seven major central banks. News affecting short-term maturity bonds tend to have the strongest impact, highlighting the relevance of communication regarding the path of future monetary policy for exchange rate movements. Overall, our findings suggest that the external channel of monetary transmission has been alive and well, even though many central banks have hit the effective lower bound in recent years.

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Essays in Empirical Finance

Essays in Empirical Finance

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Considering that monetary policy is multi-dimensional and cannot be solely reduced to changes in the short-term interest rate, Chapter 1 revisits the bank lendi