We examine the impact of U.S. monetary policy shocks on exchange rates using the monetary policy indicator proposed by Bernanke and Mihov (1998). We find evidence for instantaneous, rather than delayed, U.S. dollar overshooting after a monetary shock when relative output and relative prices are...

We examine the impact of U.S. monetary policy shocks on exchange rates using the monetary policy indicator proposed by Bernanke and Mihov (1998). We find evidence for instantaneous, rather than delayed, U.S. dollar overshooting after a monetary shock when relative output and relative prices are...

This paper examines the impact of U.S. monetary policy shocks on the cross exchange rates of sterling, yen and mark. The main finding of the paper is a ‘delayed overshooting’ pattern for all currency cross rates examined (sterling/yen, yen/mark and mark/sterling) following an unexpected U.S....

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test...