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...
| Autores: | , |
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| 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 |
| 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. |
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