Empirical studies have shown that Federal Open Market Committee (FOMC) announcements affect the exchange rate. Because of different policy targets, the exchange rate response to specific events may vary. Based on the theory of directional change (DC), this study analyzes the effects of specific FOMC announcements on exchange rates, specifically examining the continuous effects using a variable for DC volatility and high-frequency data. We find that, in contrast to variables for volatility based on time-series data, our variable for DC volatility is sensitive to the effects of specific FOMC announcements on exchange rates. Specifically, the exchange rate has a strong response to announcements of an expansionary monetary policy and a weaker response to a tighter or unchanged policy. This study presents a new explanation for the effects of FOMC announcements on exchange rates. Moreover, our variable for DC volatility has the potential to be used for measuring the impact of other events on financial markets.

实证研究表明，联邦公开市场委员会 (FOMC) 的公告会影响汇率。由于政策目标不同，汇率对具体事件的反应可能会有所不同。本研究基于定向变化（DC）理论，分析特定 FOMC 公告对汇率的影响，特别是使用 DC 波动率和高频数据的变量来检验连续效应。我们发现，与基于时间序列数据的波动率变量相比，我们的 DC 波动率变量对特定 FOMC 公告对汇率的影响很敏感。具体而言，汇率对宣布扩张性货币政策的反应强烈，对紧缩或不变的政策反应较弱。本研究对 FOMC 公告对汇率的影响提出了新的解释。此外，我们的 DC 波动变量有可能用于衡量其他事件对金融市场的影响。