the impact of monetary policy on the exchange rate a study货币政策对汇率的影响研究

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1、TheImpactofMonetaryPolicyontheExchangeRate:AStudyUsingIntradayData∗JonathanKearnsandPhilMannersReserveBankofAustraliaWeinvestigatetheimpactofmonetarypolicyontheex-changerateusinganeventstudywithintradaydataforfourcountries.Carefullyselectingthesampleperiodsensuresthatthepolicych

2、angeisexogenoustotheexchangerate.Anunan-ticipatedtighteningof25basispointsleadstoarapidappreci-ationofaround0.35percent.Wealsoshowthattheimpactdependsonhowthesurpriseaffectsexpectationsoffuturemonetarypolicy.Ifexpectationsoffuturepolicyarerevisedbythefullamountofthesurprise,thent

3、heimpactontheexchangerateislarger(0.4percent)thanifthesurpriseonlybringsforwardananticipatedchangeinpolicy(0.2percent).JELCodes:F31,G14.1.IntroductionRecentstudieshavehadsomesuccessinidentifyingtheresponseoftheexchangeratetomacroeconomicvariablesbyusinghigh-frequencydata.1Thispa

4、permakestwoimportantcontributionsto∗Theauthorsaregratefultotheeditorandananonymousreferee,participantsofaseminarattheReserveBankofAustraliaandtheMonetaryShocksworkshopattheUniversityofMelbourne,andEllisConnolly,TimHampton,andChristo-pherKentforhelpfulcomments.Responsibilityforan

5、yerrorsrestswiththeauthors.TheviewsexpressedinthispaperarethoseoftheauthorsandshouldnotbeattributedtotheReserveBank.Correspondingauthor:Kearns:ReserveBankofAustralia,GPOBox3947,SydneyNSWAustralia;e-mail:kearnsj@rba.gov.au;Tel:+61-2-9551-8877;Fax:+61-2-9551-8833.1Forexample,seeAn

6、dersenetal.(2003),Zettelmeyer(2004),Faustetal.(forthcoming),andthereferencestherein.157158InternationalJournalofCentralBankingDecember2006theliteratureontheresponseoftheexchangeratetomonetarypolicy.First,weuseintradaydata,whichallowsustomorepre-ciselycontrolforendogeneityandexte

7、rnalfactorsthatmayinflu-encebothexchangeratesandinterestrates(suchasmacroeconomicdatareleases).Withintradaydatawecanalsoexaminethetem-poralresponseoftheexchangerate.Oursecondcontributionistoconsiderhowchangesintheexpectedpathoffuturemonetarypolicythatresultfromamonetarysurprisein

8、fluencetheresponseoftheexchangerate.Someinterest