The Impact of Monetary Policyon the Exchange Rate Evidence From Three Small Open Economies

This paper studies the impact effect of monetary policy shocks-identified by the reaction of three month market interest rates to policy announcements-on the exchange rate in Australia, Canada, and New Zealand during the 1990s. The main results are that (1) on average, a 100 basis point contractiona...

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Main Author: Zettelmeyer, Jeronimo
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2000, 2000
Series:IMF Working Papers; Working Paper
Subjects:
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Collection: International Monetary Fund - Collection details see MPG.ReNa
Summary:This paper studies the impact effect of monetary policy shocks-identified by the reaction of three month market interest rates to policy announcements-on the exchange rate in Australia, Canada, and New Zealand during the 1990s. The main results are that (1) on average, a 100 basis point contractionary shock will appreciate the exchange rate by 2-3 percent on impact; (ii) seemingly "perverse" reactions of the exchange rate to monetary policy are mainly attributable to reverse causality; (iii) in a few instances, there were true "perverse" reactions of exchange rates to policy- generally, appreciations following expansionary shocks
Physical Description:45 p.
ISBN:1451856172
9781451856170