Exchange rates and FOMC days

Seung Ahn; Michael Melvin

doi:10.1111/j.1538-4616.2007.00064.x

Exchange rates and FOMC days

Seung Ahn, Michael Melvin

Economics

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

Federal Open Market Committee (FOMC) meeting days provide a natural laboratory for exploring the effects of policy uncertainty and learning on exchange rate determination. A reasonable hypothesis is that the meeting outcomes are price-relevant public information associated with a switch to an "informed-trading state." Evidence is provided by intradaily exchange rates for 10 FOMC meetings. A particularly interesting finding is that the informed-trading regime tends to emerge during the time that the FOMC meets. An extensive search of public news indicates that the informed trading cannot be explained as the response to public information.

Original language	English (US)
Pages (from-to)	1245-1266
Number of pages	22
Journal	Journal of Money, Credit and Banking
Volume	39
Issue number	5
DOIs	https://doi.org/10.1111/j.1538-4616.2007.00064.x
State	Published - Aug 2007

Keywords

Central bank policy
Exchange rates
FOMC
Microstructure

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.1111/j.1538-4616.2007.00064.x

Cite this

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Exchange rates and FOMC days

Abstract

Keywords

ASJC Scopus subject areas

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