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Spillovers to exchange rates from monetary and macroeconomic communications events

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  • Enzo Rossi
  • Vincent Wolff

Abstract

We study the tightness of the link between U.S. monetary and macroeconomic communication events and the exchange rate movements against the USD of four major currencies - the euro, the Swiss franc, the Brazilian real and the Mexican peso - since the global financial crisis (GFC). We find three main results. Approximately 20 percent of the U.S. communications events were associated with statistically significant exchange rate effects. Unconventional and conventional monetary policy announcements had equal impacts. The reactions of the advanced countries' currencies were more in line with each another than with those of the emerging markets' currencies.

Suggested Citation

  • Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
    • Handle: RePEc:snb:snbwpa:2020-18
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    More about this item

    Keywords

    Central bank communication; macroeconomic news; exchange rates; event study;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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