Accessible Version

The Sensitivity of the U.S. Dollar Exchange Rate to Changes in Monetary Policy Expectations Accessible Data

Figure 1: Changes in the Advanced Dollar Index and Forward U.S. OIS Rate on FOMC Announcement Days

Date Change in 3-month OIS rate, 21 months forward Change in advanced dollar index
8 January 1991   -0.88
1 February 1991   -0.19
7 February 1991   0.17
8 March 1991   0.71
27 March 1991   0.42
30 April 1991   0.02
15 May 1991   0.02
5 July 1991   -0.26
6 August 1991   -0.06
21 August 1991   -0.69
13 September 1991   -0.35
2 October 1991   -0.31
30 October 1991   -0.14
6 November 1991   -0.35
6 December 1991   0.10
18 December 1991   -0.11
20 December 1991   -0.64
6 February 1992   -0.58
1 April 1992   -0.25
9 April 1992   0.43
20 May 1992   0.49
2 July 1992   0.15
19 August 1992   -0.23
4 September 1992   0.00
7 October 1992   0.96
18 November 1992   -0.48
23 December 1992   0.13
4 February 1993   -0.09
24 March 1993   0.38
19 May 1993   -0.31
8 July 1993   0.62
18 August 1993   0.63
22 September 1993   0.32
17 November 1993   0.24
22 December 1993   -0.36
4 February 1994   0.21
22 March 1994   -0.03
18 April 1994   -0.39
17 May 1994   -0.44
6 July 1994   0.39
16 August 1994   0.04
27 September 1994   0.00
15 November 1994   0.26
20 December 1994   -0.07
1 February 1995   -0.17
28 March 1995   -0.38
23 May 1995   -0.36
6 July 1995   0.55
22 August 1995   -0.15
26 September 1995   -0.20
15 November 1995   0.47
19 December 1995   -0.05
31 January 1996   0.04
26 March 1996   0.28
21 May 1996   0.00
3 July 1996   0.00
20 August 1996   -0.11
24 September 1996   0.02
13 November 1996   0.00
17 December 1996   0.21
5 February 1997   0.23
25 March 1997   -0.12
20 May 1997   -0.21
2 July 1997   -0.54
19 August 1997   0.20
30 September 1997   0.08
12 November 1997   -0.13
16 December 1997   -1.14
4 February 1998   -0.45
31 March 1998   0.19
19 May 1998   -0.41
1 July 1998   0.69
18 August 1998   -0.14
29 September 1998   0.89
15 October 1998   -0.69
17 November 1998   0.16
22 December 1998   -0.19
3 February 1999   -0.44
30 March 1999   -0.69
18 May 1999   0.47
30 June 1999   0.17
24 August 1999   0.16
5 October 1999   0.08
16 November 1999   -0.47
21 December 1999   -0.10
2 February 2000   -0.57
21 March 2000   0.45
16 May 2000   0.83
28 June 2000   -0.43
22 August 2000   -0.04
3 October 2000   0.07
15 November 2000   0.28
19 December 2000   -0.70
3 January 2001   0.39
31 January 2001   -0.70
20 March 2001   0.74
18 April 2001   -1.02
15 May 2001   -0.38
27 June 2001   0.94
21 August 2001   -0.49
17 September 2001   -0.09
2 October 2001   -0.27
6 November 2001   -0.19
11 December 2001   -0.44
19 March 2002 0.83 -0.40
7 May 2002 -2.79 0.68
26 June 2002 -17.23 -0.56
13 August 2002 -15.77 -0.83
24 September 2002 -1.04 -0.15
6 November 2002 3.32 -0.85
10 December 2002 4.71 -0.20
29 January 2003 6.10 0.63
18 March 2003 7.78 0.34
6 May 2003 -13.83 -0.23
25 June 2003 18.30 1.22
12 August 2003 -7.52 -0.02
16 September 2003 -0.05 -0.47
28 October 2003 -15.98 -0.03
9 December 2003 15.95 0.21
28 January 2004 17.34 1.30
16 March 2004 -9.64 0.28
4 May 2004 0.16 -0.53
30 June 2004 -9.41 -0.38
10 August 2004 9.04 0.56
21 September 2004 0.75 -0.08
10 November 2004 5.84 0.00
14 December 2004 -1.23 -1.21
2 February 2005 4.29 0.33
22 March 2005 16.46 1.24
3 May 2005 0.00 -0.37
30 June 2005 -4.88 1.15
9 August 2005 -6.42 -0.35
20 September 2005 4.98 -0.22
1 November 2005 4.28 -0.14
13 December 2005 -3.69 -0.89
31 January 2006 0.60 0.30
28 March 2006 10.05 0.42
10 May 2006 1.61 -0.36
29 June 2006 -7.52 -1.26
8 August 2006 -5.85 -0.17
20 September 2006 -0.11 -0.39
25 October 2006 -6.38 -0.36
12 December 2006 -6.94 0.09
31 January 2007 -9.34 -0.26
21 March 2007 -9.35 -0.23
9 May 2007 5.19 0.27
28 June 2007 5.99 -0.11
7 August 2007 0.10 -0.23
10 August 2007 5.95 0.23
17 August 2007 6.96 -0.01
18 September 2007 -11.06 -0.49
31 October 2007 15.47 0.05
11 December 2007 -28.03 0.06
22 January 2008 -18.16 -0.01
30 January 2008 -3.09 -0.03
11 March 2008 5.62 -0.78
18 March 2008 19.44 1.00
30 April 2008 -7.93 0.56
25 June 2008 -7.89 -0.75
5 August 2008 2.89 0.52
16 September 2008 6.44 -0.08
8 October 2008 14.61 0.81
29 October 2008 -5.77 -0.14
25 November 2008 -23.82 1.05
1 December 2008 -24.26 -0.24
16 December 2008 -26.86 -2.66
28 January 2009 11.56 1.28
18 March 2009 -28.25 -4.02
29 April 2009 3.14 0.37
24 June 2009 8.07 0.75
12 August 2009 -1.68 -0.36
23 September 2009 -8.58 0.69
4 November 2009 -1.74 -0.14
16 December 2009 0.18 1.47
27 January 2010 11.39 0.06
16 March 2010 -6.43 -0.14
28 April 2010 3.11 -0.65
23 June 2010 -2.40 0.10
10 August 2010 -3.18 0.87
21 September 2010 -9.13 -1.01
3 November 2010 -6.84 -1.16
14 December 2010 18.67 0.46
26 January 2011 4.07 0.12
15 March 2011 -2.64 0.28
27 April 2011 2.24 -0.77
22 June 2011 -0.96 1.11
9 August 2011 -13.83 0.02
21 September 2011 -0.22 2.16
2 November 2011 -3.00 0.17
13 December 2011 2.16 0.91
25 January 2012 -7.84 -1.21
13 March 2012 5.76 0.62
25 April 2012 -0.52 -0.25
20 June 2012 4.10 0.78
1 August 2012 3.83 0.72
13 September 2012 -4.24 -0.77
24 October 2012 -0.26 -0.05
12 December 2012 2.01 -0.06
30 January 2013 -2.12 -0.18
20 March 2013 1.98 -0.12
1 May 2013 -1.52 0.56
19 June 2013 15.19 1.91
31 July 2013 0.07 0.57
18 September 2013 -15.65 -0.83
30 October 2013 1.92 0.49
18 December 2013 2.34 0.58
29 January 2014 -4.55 0.58
19 March 2014 17.54 0.81
30 April 2014 -5.05 0.05
18 June 2014 -5.74 -0.39
30 July 2014 6.09 -0.10
17 September 2014 7.40 0.26
29 October 2014 9.43 0.84
17 December 2014 9.20 0.48
28 January 2015 -9.10 0.87
18 March 2015 -21.87 -0.02
29 April 2015 0.27 0.76
17 June 2015 -6.21 -1.15
29 July 2015 3.16 0.83
17 September 2015 -13.58 -0.49
28 October 2015 10.65 0.57
16 December 2015 6.45 1.12
27 January 2016 -0.46 -0.33
16 March 2016 -12.37 -2.39
27 April 2016 -4.24 -0.64
15 June 2016 -6.55 0.43
27 July 2016 -4.42 -0.73
21 September 2016 0.53 -0.66
2 November 2016 -0.68 0.00
14 December 2016 3.44 2.51
1 February 2017 0.16 -0.41
15 March 2017 -11.09 -1.10
3 May 2017 1.22 -0.03
14 June 2017 -6.71 0.93

Notes: Daily changes on FOMC announcement days January 2002-June 2017. The dotted line represents the prediction of a linear regression through the data.

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Figure 2: Time-Varying Sensitivity of the Advanced Dollar Index

$$$\displaystyle dX_{i,t}=\alpha + \beta dS_{j,t} + \epsilon_{i,t}$$$

Date Surprise is USD OIS Surprise is USD - AFE OIS
2 February 2005 3.52  
22 March 2005 3.99  
3 May 2005 4.03  
30 June 2005 3.26  
9 August 2005 3.37  
20 September 2005 3.31  
1 November 2005 4.06  
13 December 2005 5.13  
31 January 2006 4.02  
28 March 2006 5.47  
10 May 2006 5.37  
29 June 2006 6.29  
8 August 2006 6.47  
20 September 2006 6.34  
25 October 2006 6.00  
12 December 2006 5.46  
31 January 2007 4.90  
21 March 2007 4.49  
9 May 2007 2.84  
28 June 2007 2.63  
7 August 2007 3.32  
10 August 2007 3.54  
17 August 2007 3.50  
18 September 2007 3.39  
31 October 2007 3.02  
11 December 2007 3.06  
22 January 2008 1.04  
30 January 2008 1.04  
11 March 2008 0.68  
18 March 2008 1.54  
30 April 2008 1.15  
25 June 2008 1.34  
5 August 2008 1.24  
16 September 2008 1.18  
8 October 2008 1.59  
29 October 2008 1.54  
25 November 2008 0.65  
1 December 2008 0.77  
16 December 2008 0.76  
28 January 2009 1.17  
18 March 2009 3.77  
29 April 2009 2.29  
24 June 2009 3.95  
12 August 2009 4.16  
23 September 2009 4.14  
4 November 2009 4.49  
16 December 2009 5.41  
27 January 2010 3.35  
16 March 2010 3.66  
28 April 2010 3.42  
23 June 2010 3.55  
10 August 2010 3.31  
21 September 2010 6.24  
3 November 2010 6.54  
14 December 2010 6.61  
26 January 2011 3.83  
15 March 2011 2.77  
27 April 2011 2.60  
22 June 2011 2.36  
9 August 2011 1.55  
21 September 2011 1.69  
2 November 2011 2.14  
13 December 2011 2.38  
25 January 2012 3.17  
13 March 2012 4.04 5.32
25 April 2012 4.00 4.68
20 June 2012 4.71 5.90
1 August 2012 4.87 6.24
13 September 2012 5.49 6.08
24 October 2012 4.69 5.53
12 December 2012 3.58 4.25
30 January 2013 6.51 4.90
20 March 2013 6.21 12.90
1 May 2013 12.58 12.07
19 June 2013 8.42 16.49
31 July 2013 8.58 15.06
18 September 2013 9.98 15.01
30 October 2013 12.54 15.99
18 December 2013 13.00 17.95
29 January 2014 8.61 14.61
19 March 2014 6.86 10.92
30 April 2014 6.66 15.65
18 June 2014 6.84 15.57
30 July 2014 6.30 10.07
17 September 2014 5.56 8.83
29 October 2014 5.62 9.06
17 December 2014 5.45 8.40
28 January 2015 4.43 6.49
18 March 2015 3.49 4.49
29 April 2015 3.53 4.21
17 June 2015 4.05 5.11
29 July 2015 3.14 4.20
17 September 2015 3.40 4.59
28 October 2015 2.78 3.83
16 December 2015 3.03 4.16
27 January 2016 3.04 4.24
16 March 2016 4.63 6.72
27 April 2016 4.97 6.96
15 June 2016 4.79 6.78
27 July 2016 4.88 6.81
21 September 2016 5.20 7.17
2 November 2016 4.91 6.80
14 December 2016 6.07 8.00
1 February 2017 11.66 14.70
15 March 2017 11.56 14.91
3 May 2017 11.11 15.30
14 June 2017 10.13 14.35

Notes: Estimation of β using rolling 2-year robust regressions on FOMC announcement days. Xi is the advanced dollar index.

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Last Update: September 22, 2017