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FINANCIAL CRISIS AND THE GLOBAL TRANSMISSION OF U.S. MONETARY POLICY SURPRISES
Hitotsubashi Journal of Economics ; 63(2):104-125, 2022.
Article in English | ProQuest Central | ID: covidwho-2164321
ABSTRACT
Daily variations in government bond yields and foreign exchange spot rates for 46 countries on FOMC meeting days show that the influence of U.S. monetary policy surprises intensified after the financial crisis. Keywords financial crisis, monetary policy, interest rates, exchange rate JEL Classification Codes E43, E52, F31 I. Introduction The COVID-19 pandemic forced the Federal Reserve (Fed) to cut the Fed Funds rate to zero and launch a new round of quantitative easing (QE). Using daily variations in government bond yields and foreign exchange spot rates for 46 sample countries on FOMC meeting days, I find that the global influence of U.S. monetary policy surprises intensified after the financial crisis When taking into account exchange rate regimes (hard pegs, soft pegs, managed float, and free float), I find that free-floating arrangements lead to the larger responses to U.S. monetary policy surprises.
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Full text: Available Collection: Databases of international organizations Database: ProQuest Central Language: English Journal: Hitotsubashi Journal of Economics Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ProQuest Central Language: English Journal: Hitotsubashi Journal of Economics Year: 2022 Document Type: Article