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Unconventional monetary policy and the dollar–euro exchange rate: further evidence from event studies

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dc.contributor.authorSosvilla Rivero, Simón Javier
dc.contributor.authorFernández Fernández, Natalia
dc.date.accessioned2023-06-18T05:55:30Z
dc.date.available2023-06-18T05:55:30Z
dc.date.issued2016
dc.description.abstractNew evidence is presented on 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 employ an event study approach using daily the USD–EUR exchange rate for the period from 2 January 2007 to 31 January 2015. Our results indicate that the announcement and subsequent implementation of such measures by the ECB would have caused in general an appreciation of the dollar, while those by the FED would have caused a depreciation of the dollar.
dc.description.departmentDepto. de Análisis Económico y Economía Cuantitativa
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.sponsorshipMinisterio de Ciencia e Innovación (MICINN)
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/55442
dc.identifier.issn1466-4291
dc.identifier.officialurlhttps://doi.org/10.1080/13504851.2015.1111984
dc.identifier.urihttps://hdl.handle.net/20.500.14352/23600
dc.issue.number12
dc.journal.titleApplied Economics Letters
dc.language.isoeng
dc.page.final839
dc.page.initial835
dc.publisherTaylor & Francis
dc.relation.projectIDECO2011-23189
dc.rights.accessRightsopen access
dc.subject.jelC10
dc.subject.jelD58
dc.subject.jelF31
dc.subject.jelG15
dc.subject.keywordQuantitative easing
dc.subject.keywordUnconventional monetary policy
dc.subject.keywordAnnouncements
dc.subject.keywordFederal Reserve
dc.subject.keywordEuropean Central Bank
dc.subject.keywordExchange rates.
dc.subject.ucmDinero
dc.subject.ucmEconometría (Economía)
dc.subject.ucmMercados bursátiles y financieros
dc.subject.ucmMicroeconomía
dc.subject.unesco5304.06 Dinero y Operaciones Bancarias
dc.subject.unesco5302 Econometría
dc.subject.unesco5307.15 Teoría Microeconómica
dc.titleUnconventional monetary policy and the dollar–euro exchange rate: further evidence from event studies
dc.typejournal article
dc.volume.number23
dcterms.referencesBrown, S. J., and J. B. Warner. 1980. “Measuring Security Price Performance.” Journal of Financial Economics 8: 205–258. doi:10.1016/0304-405X(80)90002-1. Brown, S. J., and J. B. Warner. 1985. “Using Daily Stock Returns.” Journal of Financial Economics 14: 3–31. doi:10.1016/0304-405X(85)90042-X. MacKinlay, A. C. 1997. “Event Studies in Economics and Finance.” Journal of Economic Literature 35: 13–39. Meinusch, A., and P. Tillmann 2015. “Quantitative Easing and Tapering Uncertainty: Evidence from Twitter.” Discussion Paper No. 09-2015, Universities of Aachen, Gießen, Göttingen, Kassel, Marburg and Siegen. Sosvilla-Rivero, S., and N. Fernández-Fernández. 2015. “Unconventional Monetary Policy and the Dollar-Euro Exchange Rate: First Results from Time-Series Analysis.” Applied Economics Letters. Advance online publication. doi:10.1080/13504851.2015.1102841. Thornton, D. L. 2012. “The Dual Mandate: Has the Fed Changed Its Objective?” Federal Reserve Bank of St. Louis Review 94: 117–133.
dspace.entity.typePublication
relation.isAuthorOfPublication13e83682-e923-4f28-a770-1140d295a334
relation.isAuthorOfPublication.latestForDiscovery13e83682-e923-4f28-a770-1140d295a334

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