This paper examines the time-varying and currency-dependency nature of exchange rate responses following the U.S. monetary policy announcements. Using high frequency exchange rate data in the past decade, we find that the exchange rates of most major currencies against the US Dollar respond negatively to the monetary surprises in the 2001 recession, while the response becomes positive during the 2008 recession. Meanwhile, the JPY has the opposite response than the other major currencies in the 2008 recession. These results further confirm the nonlinearity in the relationship between exchange rate dynamics and fundamental news announcements.
Yang, Qianyi, "U.S. Monetary Policy Announcements and Foreign Exchange Market Behavior" (2012). Honors Projects. Paper 51.
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