The Dollar during the Great Recession: The Information Channel of US Monetary Policy and the Flight to Safety

• 成果类型: Article
• 署名作者: Stavrakeva, Vania; Tang, Jenny
• 署名单位: University of London; London Business School; Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70025
• 发表日期: 2026-04
• 页码: 971-1010
• 关键词: federal-reserve; stock-prices; earnings; identification; surprises; inference; banking; TRADE; rates

摘要

Conventional wisdom holds that lowering a home country's interest rate relative to another's will depreciate the domestic currency. We document that, at business-cycle frequencies, U.S. forward guidance monetary policy easings had the opposite effect during the Great Recession. We attribute this effect to calendar-based forward guidance that signaled economic weakness, resulting in a flight-to-safety effect and lower expected U.S. inflation. We also document cross-currency heterogeneity: a surprise U.S. rate cut induced a larger appreciation of the dollar against currencies that typically depreciate more when the world economy is contracting. We build a model that can reconcile these findings.