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

TABLE 5 JPY/USD: Summary of Same-Day and Delayed Exchange Rate Responses to the
______________________Unexpected Change in The Federal Funds Target Rate______________________

Daily Data: 27 March 1989 to 4 April 2001______________________________________________________________

Each row below is associated with a separate regression model. Only the point estimate and the associated
standard error for the independent variable FFT-UNEXPECTED are shown, regardless of whether or not the
control variables are significant.______________________________________________________________________________________

FFT-UNEXPECTED

R-squared_______________

F-statistic___________________

DLNJPY(0)

0.0126*

(0.0073)__________________

0.22

3.5780**

DLNJPY(1)

-0.0067

(0.0093)__________________

0.33

2.7783**

DLNJPY(2)

-0.0090

(0.0095)__________________

0.13

0.8254

DLNJPY(3)

-0.0051

(0.0088)__________________

0.50

5.2350***

DLNJPY(4)

-0.0008

(0.0086)__________________

0.19

1.4382

DLNJPY(5)

-0.0091

(0.0106)__________________

0.14

0.8697

DLNJPY(6)

-0.0240

(0.0149)__________________

0.14

1.1494

DLNJPY(7)

-0.0097

(0.0146)__________________

0.04

0.1922

DLNJPY(8)

-0.0139

(0.0093)__________________

0.36

2.7182**

DLNJPY(9)

-0.0046

(0.0083)__________________

0.04

0.1676

DLNJPY(10)

-0.0016

(0.0070)

0.10

0.6760

DLNJPY(11)

0.0166
(0.0105)

0.28

3.2169

DLNJPY(12)

0.0093
(0.0138)

0.10

0.5030

DLNJPY(13)

-0.0044

(0.0123)

0.20

0.9787

DLNJPY(14)

-0.0285*

(0.0137)__________________

0.17

0.8130

DLNJPY(15)

0.0073

(0.0091)__________________

0.31

3.0801

NOTES:

(a) * Denotes significance at 90%, ** Denotes significance at 95%, *** Denotes significance at 99%.

(b) Standard Errors in ( ) below the point estimates.

(c) Estimations are defined in Equation (3) in the text.

(d) The dependent variable is lead one through fifteen of the first difference of the log of the daily JPY/USD spot exchange rate.

(e) The independent variable FFT-UNEXPECTED measures the unexpected element of the Federal Funds Target rate change on FOMC
dates. This variable is taken from Kuttner (2001).

(f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), Industrial
Production (IP-UNEXP), PPI (PPI-UNEXP), Balance of Trade (TRADE-UNEXP) and Unemployment (UNEM-UNEXP).________________