Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur?
研究在没有实际货币政策变化时，汇率是否会对未来美国货币政策预期的日常变化做出反应。利用联邦基金期货合约数据衡量政策预期，控制宏观新闻和政策发展的意外成分，分析了超过12年的每日汇率数据，发现预期变化与汇率变化显著相关。
This paper addresses whether exchange rates respond to changes in expectations of future U.S. monetary policy when no actual monetary policy changes occur. We employ data on Federal funds futures contracts for extracting a measure of policy expectations, control for the surprise element of macroeconomic news and policy developments, and analyze more than 12 years of daily exchange rate data. Our findings show that continuous day-to-day changes in expectations of future monetary policy are associated in a highly significant and systematic way with day-to-day changes in exchange rates even when no actual monetary policy changes occur. This suggests that monetary policy matters for daily exchange rate determination in more ways than merely through infrequent, actual policy changes.