The Impact of Monetary Policyon the Exchange Rate: Evidence From Three Small Open Economies
IMF Working Papers, August 1, 2000
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- The Impact of Monetary Policyon the Exchange Rate: Evidence From Three Small Open Economies
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Bibliographic details
- Authors: Jeromin Zettelmeyer
- Published: August 1, 2000
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451856170.001
Summary and Research Scope
- 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.
- Paper type: IMF Working Paper (Working Paper No. 2000/141).
- Author: Jeromin Zettelmeyer.
- Publication date: August 1, 2000.
- Pages: 45.
- Volume: 2000.
- Issue: 141.
- DOI: https://doi.org/10.5089/9781451856170.001.
- Stock No: WPIEA1412000.
- ISBN: 9781451856170.
- ISSN: 1018-5941.
Key Empirical Findings
- On average, a 100 basis point contractionary shock will appreciate the exchange rate by 2-3 percent on impact.
- Seemingly “perverse” reactions of the exchange rate to monetary policy are mainly attributable to reverse causality.
- In a few instances, there were true “perverse” reactions of exchange rates to policy—generally, appreciations following expansionary shocks.
Subject Areas and Keywords (as provided)
- Subject: Central bank policy rate, Currencies, Depreciation, Exchange rate policy, Exchange rates, Financial services, Foreign exchange, Money, National accounts.
- Keywords: Australia and New Zealand, bank bill, Central bank policy rate, Currencies, Depreciation, exchange rate development, exchange rate market turbulence, Exchange rate policy, exchange rate weakness, Exchange Rates, interest rate hike, interest rate target, Interest Rates, market turbulence, Monetary Policy, money market, overnight rate, policy action, policy announcement, short interest, tight money, WP.
Access and Formats
- Available on IMF eLibrary with multiple formats.
- Options mentioned: Download PDF, More Formats on IMF eLibrary, Order a Print Copy, Create Citation (Chicago format example provided).
Source: IMF Working Papers — "The Impact of Monetary Policyon the Exchange Rate: Evidence From Three Small Open Economies" by Jeromin Zettelmeyer, Working Paper No. 2000/141.