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Faculty Selected Works of Yiuman Tse
Article
The Impact of FOMC Announcements on Currency Futures Markets
Applied Economics Letters (2019)
  • Yiuman Tse, University of Missouri-St. Louis
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Abstract
We examine the impact on developed and emerging markets of the FOMC announcements on currency futures during the period 1994–2017. The effects are significant for high-yielding major currencies and emerging market currencies. Expansionary monetary policy shocks give positive returns, and contractionary shocks give negative returns, not only on the day of announcements but also three weeks before and after the announcements.
Keywords
  • FOMC announcements,
  • currency futures,
  • monetary policy,
  • trading strategy
Disciplines
Publication Date
2019
DOI
10.1080/13504851.2019.1588940
Citation Information
Yiuman Tse. "The Impact of FOMC Announcements on Currency Futures Markets" Applied Economics Letters Vol. 26 Iss. 19 (2019) p. 1590 - 1596
Available at: http://works.bepress.com/yiuman-tse/112/