ECB Monetary Policy and the Euro Exchange Rate

54 Pages Posted: 14 May 2018

Date Written: May 3, 2018


The paper provides empirical evidence on the effects of ECB conventional and unconventional monetary policy on the euro exchange rate, focusing on the period from January 2013 to September 2017. Innovations to conventional and unconventional monetary policies are identified through changes in, respectively, short- and long-term interest rates immediately after Governing Council meetings. Both types of measures contributed to the depreciation of the euro from mid-2014; surprises associated with conventional measures had a stronger and more persistent effect than those associated with unconventional ones. Time-varying estimates of the effects of conventional surprises since 1999 show that the responsiveness of exchange rates to monetary news increased markedly from 2013. State-dependence analysis finds that the exchange rate became more sensitive to monetary policy when the ECB adopted a policy of negative interest rates and when conventional and unconventional monetary surprises moved in the same direction.

Keywords: unconventional monetary policy, exchange rates, European Central Bank

JEL Classification: E52, E58, F31

Suggested Citation

Cecioni, Martina, ECB Monetary Policy and the Euro Exchange Rate (May 3, 2018). Bank of Italy Temi di Discussione (Working Paper) No. 1172, Available at SSRN: or

Martina Cecioni (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184

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