Regulation, Competition and Risk in the Market for Credit Cards
In: Canadian public policy: Analyse de politiques, Band 26, Heft 2, S. 171
ISSN: 1911-9917
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In: Canadian public policy: Analyse de politiques, Band 26, Heft 2, S. 171
ISSN: 1911-9917
In: Canadian public policy: a journal for the discussion of social and economic policy in Canada = Analyse de politiques, Band 26, Heft 2, S. 171-182
ISSN: 0317-0861
In: The Canadian Journal of Economics, Band 29, S. S433
In: IMF Working Paper, S. 1-36
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In: FRB of Philadelphia Working Paper No. 14-17
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Working paper
This paper shows that exchange rates respond to only the surprise component of an actual US monetary policy change and that failure to disentangle the surprise component from the actual monetary policy change can lead to an underestimation of the impact of monetary policy, or even to a false acceptance of the hypothesis that monetary policy has no impact on exchange rates. This finding implies that there is a need for reexamining the empirical analyses of asset price responses to macro news that do not isolate the unexpected component of news from the expected element. In addition, we add to the debate on how quickly exchange rates respond to news by showing that the exchange rates under study absorb monetary policy surprises within the same day as the news are announced.
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This paper is the first to utilize the informational content embodied in Federal funds futures contracts for extracting day-to-day changes in expectations of future US monetary policy, in the context of a study of day-to-day exchange rate changes. We analyze more than 12 years of daily exchange rate data and show that continuous day-to-day changes in expectations of future US monetary policy has a significant and systematic impact on day-to-day changes in exchange rates. Our results imply that monetary policy matters for daily exchange rate determination in more ways than merely through infrequent, actual policy changes. Furthermore, when focusing on the actual monetary policy changes, the paper confirms that only the unexpected element of a policy change impacts exchange rates. The presented findings are generally consistent with the notion that exchange rates are forward-looking asset prices.
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In: Journal of institutional and theoretical economics: JITE, Band 138, Heft 1, S. 1-21
ISSN: 0932-4569
In: FRB of Philadelphia Working Paper No. 18-22
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Working paper
In: FRB of Philadelphia Working Paper No. 18-16
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Working paper
In: FRB of Philadelphia Working Paper No. 16-4
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Working paper
In: The journal of business, Band 79, Heft 4, S. 2099-2125
ISSN: 1537-5374
In: The International trade journal, Band 11, Heft 4, S. 433-451
ISSN: 1521-0545
In: FRB of Philadelphia Working Paper No. 22-35
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In: FRB of Philadelphia Working Paper No. 21-36
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