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
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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.
Figure 2: Time-Varying Sensitivity of the Advanced Dollar Index
dXi,t=α+βdSj,t+ϵi,t
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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.
Last Update:
September 22, 2017