Exchange Rates, Monetary Policy Statements, and Uncovered Interest Parity: Before and After the Zero Lower Bound

Michael T. Kiley

Figure 1: Surprises in Selected Interest Rates and Exchange Rates Around FOMC Pre-ZLB and ZLB PeriodAnnouncements

OBS	Surprise in 5-year Treasury yield	Surprise in Dollar/Euro(Deutsche mark)	Surprise in Dollar/Yen
7/05/1991	0.027	0.219	0.82437
8/06/1991	-0.059	0.42628	0.69505
8/21/1991	0.007	2.9093	0.4729
9/13/1991	-0.007	0.11873	0.05967
10/02/1991	-0.006	0.16236	0.39039
10/30/1991	-0.017	1.10646	-0.25239
11/06/1991	-0.078	0.14018	-0.07704
12/06/1991	0.003	1.13196	0.44265
12/18/1991	0.011	0.20337	0.11664
12/20/1991	-0.169	1.56382	0.59222
2/06/1992	0	0.79264	0.14305
4/01/1992	-0.002	-0.27256	-1.18868
4/09/1992	-0.123	0.30845	0.27903
5/20/1992	-0.003	-0.67445	-0.3718
7/02/1992	0.025	0.23118	0.25616
8/19/1992	0	0.33714	-0.0396
9/04/1992	0.004	0.534	0.62903
10/07/1992	0.004	-0.86655	-0.08339
11/18/1992	-0.002	0.16909	0.13649
12/23/1992	-0.006	-0.47037	-0.26716
2/04/1993	0.002	-0.48368	-0.20108
3/24/1993	0	0.18422	-1.01988
5/19/1993	-0.016	0.04927	0.95887
7/08/1993	0	0.20534	-0.97493
8/18/1993	0.007	0.7722	-0.04924
9/22/1993	0.009	0.76758	0
11/17/1993	0	-0.05862	-0.25297
12/22/1993	0	0.44079	0.45913
2/04/1994	0.112	-0.82786	-0.73951
3/22/1994	-0.073	0.62826	0.23529
4/18/1994	0.076	-0.42467	0.19305
5/17/1994	-0.087	0.50435	0.41031
7/06/1994	0.013	0.91129	0.64731
8/16/1994	-0.022	0.01935	-0.20979
9/27/1994	0.023	0.41954	0.28383
11/15/1994	0.004	-0.31062	-0.21413
12/20/1994	-0.008	0.06359	-0.16975
2/01/1995	0.053	-0.01969	0.03017
3/28/1995	0.011	1.02048	-0.16841
5/23/1995	0.003	-0.42862	0.10289
7/06/1995	-0.169	-0.13746	-0.28255
8/22/1995	0.036	-0.8422	-0.18643
9/26/1995	0.045	-0.70246	-0.95114
11/15/1995	0.022	0.81996	0.76711
12/19/1995	-0.022	-0.52138	-0.14749
1/31/1996	-0.033	-0.03357	0.3169
3/26/1996	-0.008	0.14222	-0.18834
5/21/1996	0.015	-0.46708	0.13067
7/03/1996	-0.02	0.18388	-0.19074
8/20/1996	0.013	-0.11419	-0.39863
9/24/1996	-0.056	-0.14536	0.03641
11/13/1996	-0.016	-0.27901	0.08072
12/17/1996	0.005	0.46584	0.53396
2/05/1997	0.022	-0.26087	-1.02174
3/25/1997	0.072	-0.26003	-0.78907
5/20/1997	-0.03	0.84901	1.93882
7/02/1997	-0.008	-0.61612	0.35674
8/19/1997	0.017	-1.01504	-0.54325
9/30/1997	0.003	-0.49233	0.23967
11/12/1997	-0.024	-0.67301	-1.57068
12/16/1997	-0.006	-0.63916	0.16021
2/04/1998	0.011	0.91061	1.7775
3/31/1998	0.004	-0.18378	-0.85502
5/19/1998	-0.011	0.185	-0.28687
7/01/1998	0.003	-0.77583	-0.26032
8/18/1998	0.001	-0.35018	0.52133
9/29/1998	0.014	0.20901	1.32646
10/15/1998	-0.199	0.88539	1.48403
11/17/1998	-0.008	-0.14975	-1.33668
12/22/1998	-0.004	-0.04778	-0.66334
2/03/1999	0.019	0.0971	-0.30325
3/30/1999	-0.019	0.14931	-0.26716
5/18/1999	0.124	0	0.02434
6/30/1999	-0.11	-0.2612	-0.10761
8/24/1999	-0.02	-0.44537	0.179
10/05/1999	0.078	-0.09343	-0.57358
11/16/1999	0.053	-0.02908	-0.9058
12/21/1999	0.044	0.26823	0.64252
2/02/2000	0.055	0.38023	-0.678
3/21/2000	0.018	-0.07209	-0.38498
5/16/2000	0.037	-0.93018	-0.24662
6/28/2000	-0.018	0	0.01895
8/22/2000	0.014	-0.68683	0.17507
10/03/2000	0.044	-0.73813	0.13785
11/15/2000	-0.007	-0.03499	-0.55479
12/19/2000	0.014	-0.30239	-0.43727
1/03/2001	0.053	0.08452	0.40966
1/31/2001	0.018	0.47496	-0.55292
3/20/2001	-0.026	0.76795	-0.13054
4/18/2001	-0.113	0.02269	1.06736
5/15/2001	-0.079	0.45725	-0.11371
6/27/2001	0.022	-0.02319	-0.34728
8/21/2001	-0.008	-0.13148	0.67097
10/02/2001	-0.004	-0.10918	-0.42405
11/06/2001	0.02	0.13388	0.46829
12/11/2001	-0.075	0.22512	0.03168
1/30/2002	-0.009	0.05785	0.50184
3/19/2002	-0.066	0.07941	-0.01892
5/07/2002	0	0.12035	0.12877
6/26/2002	0.0141	0.2229	0.20061
8/01/2002	-0.007	0.07117	0.0461
8/13/2002	-0.0544	0.15299	0.07565
9/24/2002	-0.0169	0.1939	-0.02837
11/06/2002	-0.0707	0.55166	0.36029
12/10/2002	0.0172	0.06939	0.04853
1/29/2003	0.0458	-0.11069	-0.03806
3/18/2003	-0.0137	0.07534	0
5/06/2003	-0.0804	0.23757	0.0636
6/25/2003	0.0436	-0.21566	-0.31065
8/12/2003	-0.0443	0.16809	0.02955
9/16/2003	0.0034	0.08954	0.03013
10/28/2003	-0.103	0.29976	0.10148
12/09/2003	0.1068	0.05724	-0.06067
1/28/2004	0.2288	-1.17917	-0.50218
3/16/2004	-0.0912	-0.06521	-0.04133
5/04/2004	0.0211	0.04966	0.12734
6/30/2004	0.007	0.07395	0.34772
8/10/2004	0.0346	-0.27638	-0.3023
9/21/2004	-0.0171	0.41548	0.11365
11/10/2004	-0.0275	0.08542	0.11653
12/14/2004	-0.0103	0.15801	0.14217
2/02/2005	-0.014	0.07674	0.04331
3/22/2005	0.1129	-0.37135	-0.19032
5/03/2005	0.0244	-0.0776	-0.00951
6/30/2005	0.0279	-0.07447	-0.08117
8/09/2005	-0.0251	0.21064	0.21838
9/20/2005	0	-0.23841	-0.24634
11/01/2005	0.0143	-0.01666	-0.03002
12/13/2005	-0.0211	0.22626	0.17895
1/31/2006	0.0357	-0.41071	-0.51747
3/28/2006	0.0616	-0.37298	-0.42203
5/10/2006	0.0576	0.086	0.04255
6/29/2006	-0.0288	0.81411	0.75738
8/08/2006	-0.0143	0.14018	0.0478
9/20/2006	0.0179	-0.09442	-0.02473
10/25/2006	-0.0145	0.11125	0.11832
12/12/2006	-0.0461	0.39296	0.23909
1/31/2007	-0.0072	0.10759	0.06207
3/21/2007	-0.0709	0.54127	0.30543
5/09/2007	0.0391	-0.1476	-0.0784
6/28/2007	0.0107	-0.0223	0.04873
8/07/2007	-0.0247	0.07999	0.33329
9/18/2007	-0.0567	0.50407	0.1985
10/31/2007	0.0667	0.01383	0.02603
12/11/2007	-0.1105	-0.1768	0.55501
1/22/2008	0.073	0.37887	-0.27845
1/30/2008	0	0.48662	0.31708
3/18/2008	-0.0067	-0.18993	0.66991
4/30/2008	-0.0102	0.23135	0.01437
6/25/2008	-0.007	0.39136	0.22185
8/05/2008	0.0103	0.04529	0.1071
9/16/2008	0.0465	-0.21909	0.06379
10/08/2008	0.0461	0.43338	-0.50792
10/29/2008	-0.0303	-0.75804	0.51302
11/25/2008	-0.0297	0.76479	-0.72451
12/01/2008	0.0131	0.01584	-0.17129
12/16/2008	-0.1874	1.33489	0.9545
1/28/2009	0.0067	-0.80791	-0.32015
3/18/2009	-0.2213	2.12766	2.3299
4/29/2009	0.0562	-0.39756	-0.78531
6/24/2009	0.0894	-0.57139	-0.48347
8/12/2009	0.0203	-0.56957	-0.2472
9/23/2009	-0.0879	0.31794	0.54426
11/04/2009	0.0034	0.06736	-0.07425
12/16/2009	0.027	-0.19254	-0.25884
1/27/2010	0.0469	-0.26348	-0.43069
3/16/2010	-0.037	0.16754	0.11097
4/28/2010	0.0068	0.24321	-0.12906
6/23/2010	-0.0033	0.33386	0.12705
8/10/2010	-0.0552	0.83136	0.76589
9/21/2010	-0.0197	0.78411	0.18648
11/03/2010	-0.0322	-0.2275	-0.29411
12/14/2010	0.0034	-0.11917	-0.072
1/26/2011	-0.01	0.10977	-0.00813
3/15/2011	0.0363	0.00716	0.09882
4/27/2011	-0.02	0.25241	0.18945
6/22/2011	0.0278	0.02082	-0.0818
8/09/2011	-0.1348	0.20402	0.16912
9/21/2011	0.0209	-0.60944	-0.38707
11/02/2011	0.016	-0.24686	-0.0715
12/13/2011	0	-0.32827	-0.09734
1/25/2012	-0.0663	0.43136	0.45373
3/13/2012	0.0308	-0.32799	-0.35012
4/25/2012	0.0066	-0.12869	-0.06808
6/20/2012	0.0081	-0.14175	-0.03899
8/01/2012	0.0526	-0.35775	-0.35888
9/13/2012	0.0643	0.06205	-0.34416
10/24/2012	-0.013	0.02315	-0.01228
12/12/2012	0.0016	0.35276	-0.00229

Return to Figure 1

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