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Monetary policy surprises and exchange rate volatility
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Resumo(s)
This research studies the impact of monetary policy surprises on the DXY strength and its
volatility, while also comparing cross-market effects on equities and related indices. By
employing high-frequency policy shocks and other monetary policy measures, the analysis
demonstrates that hawkish surprises result in dollar appreciation and a reduction in DXY
volatility. Conversely, equity prices decline, and the VIX rises, reflecting heightened market
uncertainty. These findings highlight the heterogeneous transmission mechanisms of monetary
policy across asset classes. By integrating forward guidance and immediate rate changes, the
study provides insights into the broader financial stability implications of central bank
communication.
Descrição
Palavras-chave
Monetary Policy FOMC Meetings Foreign Exchange Volatility DXY Index