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Exchange Rates and Monetary Policy Uncertainty
Open accessAbstract
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis‐à‐vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies.
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Cited by
Research on the Impact of Geopolitical Instability on Russian Trade
Talamanov, P. (2024) · International Journal of Innovative Science and Research Technology (IJISRT) · doi:10.38124/ijisrt/ijisrt24jul1500 · Cited by 959
Exchange rate volatility in West African countries: is there a shred of Spillover?
Emenike, K. O. (2018) · International Journal of Emerging Markets · doi:10.1108/ijoem-08-2017-0312 · Cited by 31
Metadata
- Authors
- MUELLER, P., TAHBAZ‐SALEHI, A., & VEDOLIN, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2017-04-13
- Volume
- 72
- Issue
- 3
- Pages
- 1213-1252
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2603942287
- Cited by
- 243
- References
- 0
- FWCI
- 42.31
- Type
- journal article
- Language
- en
- Open access
- bronze
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- CoChat. (2026). Citation check: Exchange Rates and Monetary Policy Uncertainty. https://app.cochat.ai/papers/10.1111/jofi.12499
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- MUELLER, P., TAHBAZ‐SALEHI, A., & VEDOLIN, A. (2017). Exchange Rates and Monetary Policy Uncertainty. The Journal of Finance. https://doi.org/10.1111/jofi.12499
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
