TY  - JOUR
AU  - Faust,Jon
AU  - Rogers,John H.
AU  - Swanson,Eric
AU  - Wright,Jonathan H.
TI  - Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9660
PY  - 2003
Y2  - April 2003
UR  - http://www.nber.org/papers/w9660
L1  - http://www.nber.org/papers/w9660.pdf
N1  - Author contact info:
Jon Faust
Johns Hopkins University
Department of Economics
Mergenthaler Hall 456
3400 N. Charles Street
Baltimore, MD 21218
Tel: 410/516-7614
Fax: 410/516-7600
E-Mail: faustj@jhu.edu

John Rogers
Federal Reserve Board
International Finance Division
Mail Stop 20
Washington, DC 20551
Tel: 202/452-2873
Fax: 202/452-6424
E-Mail: JOHN.H.ROGERS@FRB.GOV

Eric T.. Swanson
Federal Reserve Bank of San Francisco
Economic Research, MS 1130
101 Market Street
San Francisco, CA  94105
Tel: 415/974-3172
E-Mail: eric.swanson@sf.frb.org

Jonathan H. Wright
Department of Economics
Johns Hopkins University
3400 N. Charles Street
Baltimore, MD 21218
Tel: 410/516-5728
Fax: 410/516-7600
E-Mail: wrightj@jhu.edu
AB  - This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on financial variables, such as the exchange rate and the foreign interest rate. We show how this information can be used to achieve identification without having to make the usual strong assumption of a recursive ordering.
ER  -