Unconventional monetary policy and the dollar–euro exchange rate: first results from time-series analysis

This article examines the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (Fed) and the European Central Bank (ECB). To that end, we make use of time-series analysis to obtain a reasonable long-run and short run represent...

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Detalles Bibliográficos
Autores: Sosvilla Rivero, Simón Javier, Fernández Fernández, Natalia
Tipo de recurso: artículo
Fecha de publicación:2016
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/23613
Acceso en línea:https://hdl.handle.net/20.500.14352/23613
Access Level:acceso abierto
Palabra clave:C32
E52
E58
F31
G15
Quantitative easing
Unconventional monetary policy
Announcements
Federal Reserve Bank
European Central Bank
Exchange rates.
Dinero
Econometría (Economía)
Macroeconomía
Mercados bursátiles y financieros
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
5307.14 Teoría Macroeconómica
Descripción
Sumario:This article examines the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (Fed) and the European Central Bank (ECB). To that end, we make use of time-series analysis to obtain a reasonable long-run and short run representation of the data generation process and use dummy variables to study how announcements about monetary policy changes can affect the USD–EUR exchange rate. Our results indicate that the announcement and subsequent implementation of such measures by the ECB would have caused an appreciation of the dollar, while those by the Fed would have caused a depreciation of the dollar.