The impact of FOMC announcements on currency futures markets

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

JEL CLASSIFICATION:

• F31
• G15

ACKNOWLEDGEMENTS

I am grateful to an anonymous reviewer and John Wald for valuable comments.

Disclosure statement

No potential conflict of interest was reported by the author.