Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using event studies and ask whether an information effect, where the public attributes the policy surprise to an unobserved state of the economy, may explain the abnormality. It turns out that many informational assumptions make a standard two-country New Keynesian model match this behavior. To identify the particular mechanism, we condition on multiple asset prices in the event study and model implications for these. We find that there is heterogeneity in this dimension in the event study and no model with a single regime can match the evidence. Further, even after conditioning on possible information effects driving longer term interest rates, there appear to be other drivers of exchange rates. Our results show that existing models have a long way to go in reconciling event study analysis with model-based mechanisms of asset pricing.

中央银行出乎意料地收紧政策利率，通常会观察其货币贬值的汇率，而不是像标准模型所预测的那样升值。我们使用事件研究记录了美联储和欧洲央行政策日的情况，并询问信息效应是否可以解释异常，在这种效应中，公众将政策意外归因于经济状况未观察到。事实证明，许多信息假设都使标准的两国新凯恩斯主义模型与这种行为相匹配。为了确定特定的机制，我们在事件研究中以多种资产价格为条件，并对这些价格进行建模。我们发现事件研究在此维度上存在异质性，并且没有任何单一模式的模型可以匹配证据。进一步，即使在考虑可能导致长期利率上升的信息影响之后，似乎还有其他推动汇率的因素。我们的结果表明，现有模型在将事件研究分析与基于模型的资产定价机制相协调方面还有很长的路要走。