Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?



TABLE 1 : Summary Statistics________________________________________________________________________________________________

Mean

Std. Dev.

Max

Min

Non-Zero Observations

Federal Funds Target Rate Change Unexpected (pct. points)

0.0757

0.1327

0.14

-0.36

42______________________

Federal Funds Target Rate Change Expected (pct. points)

-0.0195

0.2296

0.61

-0.29

42_______________________

Federal Funds Target Rate Change Actual (pct. points)_______

-0.0952

0.3072

0.75

-0.50

42_______________________

DEM/USD Daily Spot Rate___________________________

1.6372

0.1386

2.0295

1.356

2434____________________

GBP/USD Daily Spot Rate_____________________________

0.6190

0.0435

0.7144

0.499

2989____________________

JPY/USD Daily Spot Rate______________________________

119.3039

16.1690

159.91

81.071

2989____________________

US CPI Unexpected_________________________________

-0.0006

0.0246

0.3

-0.3

94______________________

US Industrial Production Unexpected______________________

0.0013

0.0527

0.9

-0.7

121________________________

US PPI Unexpected___________________________________

-0.0028

0.0561

0.6

-0.8

120______________________

US Trade Balance Unexpected__________________________

-0.0111

0.3246

2.75

-3.8

141________________________

US Unemployment Rate Unexpected____________________

-0.0015

0.0311

0.4

-0.4

97______________________

Bundesbank Intervention (binary)___________________________

0.0514

0.2208

1____________

0__________

125________________________

Bundesbank Interest Rate (binary)___________________________

0.0070

0.0835

1____________

0__________

21_______________________

Bank of England Interest Rate (binary)______________________

0.0144

0.1191

1____________

0__________

43_______________________

Bank of Japan Interest Rate (binary)_________________________

0.0054

0.0730

1____________

0__________

16_________________________

Bank of Japan Intervention (binary)_________________________

0.0646

0.2458

1____________

0__________

193________________________

NOTES:

a) All data series run from March 27, 1989 to February 2, 2002, with the exception of the DEM/USD exchange rate which ends on December 31,
1998. All data are five days a week (Monday to Friday).

b) Mean and std. dev. for the Federal Funds Target Rate variables are calculated using only non-zero observations.

Data Sources:

Federal Funds Target Rate Data: From Kuttner (2001).

Exchange Rate Data: Board of Governors of the Federal Reserve (Noon Eastern Time).

Bundesbank, Bank of England and Bank of Japan Data: From official central bank sources.

U.S. Macroeconomic Surprise Data: From Money Market Services and Bloomberg (the surprise is measures as the difference between actual
announcement and median survey value).

22



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