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

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Sosvilla-Rivero, Simón and Fernández Fernández, Natalia (2016) Unconventional monetary policy and the dollar–euro exchange rate: first results from time-series analysis. Applied Economics Letters, 23 (10). pp. 732-735. ISSN 1466-4291

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Official URL: http://dx.doi.org/10.1080/13504851.2015.1102841



Abstract

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.


Item Type:Article
Uncontrolled Keywords:Quantitative easing; Unconventional monetary policy; Announcements; Federal Reserve Bank; European Central Bank; Exchange rates.
Subjects:Social sciences > Economics > Money
Social sciences > Economics > Econometrics
Social sciences > Economics > Macroeconomics
Social sciences > Economics > Stock exchanges
JEL:C32, E52, E58, F31, G15
ID Code:55508
Deposited On:30 May 2019 11:19
Last Modified:01 Aug 2019 12:13

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