Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections

Arisa, Chantaraboontha

Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections

Arisa, Chantaraboontha

Institute of Social and Economic Research Discussion Papers, 2025, 1276, 1-30

アクセス数:51件（2026-02-10 08:50 集計）

固定URL: https://hdl.handle.net/11094/100855

論文情報

ファイル出力 EndNote Basic出力 Mendeley出力

タイトル	Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections
著者	著者名 Arisa, Chantaraboontha
キーワード等	Federal Reserve
	Unconventional monetary shocks
	arge-scale asset purchase
	Forward guidanc
	Euro
	Japanese Ye
	Thai Baht
	Malaysian Ringgit
抄録	This paper examines the responses of foreign exchange rates to the Federal Reserve’s large-scale asset purchases (LSAPs) and forward guidance (FWG) from 2009 to 2022 using local projections. I confirm heterogeneous responses of examined foreign ex change rates to unconventional shocks, varying by magnitude, direction, and duration depending on monetary policy conditions and the type of shock. Both shocks caused the appreciation of foreign exchange rates against the US Dollar in all monetary policy cycles, except for the FWG shock during normalization periods of monetary policy.The FWG shock had a greater impact magnitude on the examined foreign exchange rates than the LSAPs shock. The effects of both unconventional shocks were more persistent during periods of zero lower bound (ZLB) on the policy interest rate than during normalization periods of monetary policy. However, the impact of such shocks on foreign exchange rates diminished within a couple of months, contrasting with the literature that finds more persistent effects. The implementation of variance decom position reveals that the FWG shock had a significantly greater influence on foreign exchange rate variation than the LSAPs shock, emphasizing the importance of effective guidance communication to the markets.
出版者	The Institute of Social and Economic Research, Osaka University
収録物名	Institute of Social and Economic Research Discussion Papers
巻(号)	1276
ページ	1-30
刊行年月	2025-02
言語	英語
ハンドルURL	https://hdl.handle.net/11094/100855
PISSN	0473453X
eISSN	24350982
関連情報 (references)	URI https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/DP1276.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Institute of Social and Economic Research Discussion Papers

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Institute of Social and Economic Research Discussion Papers. 2025, 1276, p. 1-30
DC.title	Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections
DC.creator	Arisa, Chantaraboontha
DC.publisher	The Institute of Social and Economic Research, Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2025-02
DC.relation' scheme='DCTERMS.URI	https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/DP1276.pdf
DC.subject	Federal Reserve
	Unconventional monetary shocks
	arge-scale asset purchase
	Forward guidanc
	Euro
	Japanese Ye
	Thai Baht
	Malaysian Ringgit
DCTERMS.abstract	This paper examines the responses of foreign exchange rates to the Federal Reserve’s large-scale asset purchases (LSAPs) and forward guidance (FWG) from 2009 to 2022 using local projections. I confirm heterogeneous responses of examined foreign ex change rates to unconventional shocks, varying by magnitude, direction, and duration depending on monetary policy conditions and the type of shock. Both shocks caused the appreciation of foreign exchange rates against the US Dollar in all monetary policy cycles, except for the FWG shock during normalization periods of monetary policy.The FWG shock had a greater impact magnitude on the examined foreign exchange rates than the LSAPs shock. The effects of both unconventional shocks were more persistent during periods of zero lower bound (ZLB) on the policy interest rate than during normalization periods of monetary policy. However, the impact of such shocks on foreign exchange rates diminished within a couple of months, contrasting with the literature that finds more persistent effects. The implementation of variance decom position reveals that the FWG shock had a significantly greater influence on foreign exchange rate variation than the LSAPs shock, emphasizing the importance of effective guidance communication to the markets.
DC.format	100855
citation_title	Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections
citation_author	Arisa, Chantaraboontha
citation_publisher	The Institute of Social and Economic Research, Osaka University
citation_language	英語
citation_date	2025-02
citation_journal_title	Institute of Social and Economic Research Discussion Papers
citation_volume	1276
citation_firstpage	1
citation_lastpage	30
citation_public_url	https://hdl.handle.net/11094/100855
citation_abstract_html_url	https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/DP1276.pdf

Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections

論文情報

論文詳細を表示