On April 18, 1994 the federal funds target was increased outside a regularly scheduled meeting.
Exchange Rates and FOMC Days
Article first published online: 25 JUL 2007
Journal of Money, Credit and Banking
Volume 39, Issue 5, pages 1245–1266, August 2007
How to Cite
AHN, S. C. and MELVIN, M. (2007), Exchange Rates and FOMC Days. Journal of Money, Credit and Banking, 39: 1245–1266. doi: 10.1111/j.1538-4616.2007.00064.x
Helpful comments were received from the editor (Paul Evans), two anonymous referees, and seminar participants at the Econometric Society winter meetings, Deutsche Bundesbank, Bank for International Settlements, University of Frankfurt, University of Freiburg, University of Miami, U.C. Santa Cruz, U.C. San Diego, and University of Warwick. Patricia Ramirez contributed to the early stages of this paper. Able research assistance was provided by Eugenio Dante Suarez. This paper was started while the second author was visiting UCSD. He thanks the faculty and staff for providing a productive environment for work and discussion of related issues.
- Issue published online: 25 JUL 2007
- Article first published online: 25 JUL 2007
- Received July 15, 2002; and accepted in revised form March 23, 2006.
- exchange rates;
- central bank policy
Federal Open Market Committee (FOMC) meeting days provide a natural laboratory for exploring the effects of policy uncertainty and learning on exchange rate determination. A reasonable hypothesis is that the meeting outcomes are price-relevant public information associated with a switch to an “informed-trading state.” Evidence is provided by intradaily exchange rates for 10 FOMC meetings. A particularly interesting finding is that the informed-trading regime tends to emerge during the time that the FOMC meets. An extensive search of public news indicates that the informed trading cannot be explained as the response to public information.