Article ID Journal Published Year Pages File Type
980438 The Quarterly Review of Economics and Finance 2010 9 Pages PDF
Abstract

This paper examines the impact of U.S. monetary policy shocks on the cross exchange rates of sterling, yen and mark. The main finding of the paper is a ‘delayed overshooting’ pattern for all currency cross rates examined (sterling/yen, yen/mark and mark/sterling) following an unexpected U.S. monetary policy change, which in turn generates excess returns. We also provide evidence that the ‘delayed overshooting’ pattern in cross exchange rates is accompanied by asymmetric interventions by central banks in the foreign exchange markets under consideration triggered by a U.S. monetary policy shock.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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