Exchange Rates and Monetary Policy Uncertainty

Autor:	Alireza Tahbaz-Salehi, Philippe Mueller, Andrea Vedolin
Rok vydání:	2017
Předmět:	Economics and Econometrics 050208 finance media_common.quotation_subject 05 social sciences Monetary policy Monetary economics Interest rate Market liquidity Open market operation Accounting Quantitative easing 0502 economics and business Liberian dollar Economics Trading strategy 050207 economics Foreign exchange risk Finance media_common
Zdroj:	The Journal of Finance. 72:1213-1252
ISSN:	0022-1082
DOI:	10.1111/jofi.12499
Popis:	We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis-a-vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b18d95c2c519083aada2a0a385196f15 https://doi.org/10.1111/jofi.12499 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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