摘要：We investigate the impact of monetary policy on the exchange rate using an event
study with intraday data for four countries. Carefully selecting the sample
periods ensures that the policy change is exogenous to the exchange rate. An
unanticipated tightening of 25 basis points leads to a rapid appreciation of
around 0.35 percent. We also show that the impact depends on how the surprise
affects expectations of future monetary policy. If expectations of future policy
are revised by the full amount of the surprise, then the impact on the exchange
rate is larger (0.4 percent) than if the surprise only brings forward an
anticipated change in policy (0.2 percent).
