The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility https://www.bankofcanada.ca/?p=202685 1_Excess exchange rate volatility Excess exchange rate volatility (in basis points) 1 hour following FAD surprise announcements 2_Excess exchange rate volatility Excess exchange rate volatility (in basis points) 2 hours following FAD surprise announcements 3_Excess exchange rate volatility Excess exchange rate volatility (in basis points) 3 hours following FAD surprise announcements 4_Excess exchange rate volatility Excess exchange rate volatility (in basis points) 4 hours following FAD surprise announcements 5_Excess exchange rate volatility Excess exchange rate volatility (in basis points) 5 hours following FAD surprise announcements 1_Excess bid-ask spread Excess bid-ask spread (in basis points) 1 hour following FAD surprise announcements 2_Excess bid-ask spread Excess bid-ask spread (in basis points) 2 hours following FAD surprise announcements 3_Excess bid-ask spread Excess bid-ask spread (in basis points) 3 hours following FAD surprise announcements 4_Excess bid-ask spread Excess bid-ask spread (in basis points) 4 hours following FAD surprise announcements 5_Excess bid-ask spread Excess bid-ask spread (in basis points) 5 hours following FAD surprise announcements 1_Excess exchange rate volatility after FOMC surprises Basis points, 1 hour following surprising data releases 2_Excess exchange rate volatility after FOMC surprises Basis points, 2 hours following surprising data releases 3_Excess exchange rate volatility after FOMC surprises Basis points, 3 hours following surprising data releases 4_Excess exchange rate volatility after FOMC surprises Basis points, 4 hours following surprising data releases 5_Excess exchange rate volatility after FOMC surprises Basis points, 5 hours following surprising data releases 1_Excess exchange rate volatility after CPI surprises Basis points, 1 hour following surprising data releases 2_Excess exchange rate volatility after CPI surprises Basis points, 2 hours following surprising data releases 3_Excess exchange rate volatility after CPI surprises Basis points, 3 hours following surprising data releases 4_Excess exchange rate volatility after CPI surprises Basis points, 4 hours following surprising data releases 5_Excess exchange rate volatility after CPI surprises Basis points, 5 hours following surprising data releases 1_Excess exchange rate volatility after GDP surprises Basis points, 1 hour following surprising data releases 2_Excess exchange rate volatility after GDP surprises Basis points, 2 hours following surprising data releases 3_Excess exchange rate volatility after GDP surprises Basis points, 3 hours following surprising data releases 4_Excess exchange rate volatility after GDP surprises Basis points, 4 hours following surprising data releases 5_Excess exchange rate volatility after GDP surprises Basis points, 5 hours following surprising data releases 1_Excess bid-ask spread after FOMC surprises Basis points, 1 hour following surprising data releases 2_Excess bid-ask spread after FOMC surprises Basis points, 2 hours following surprising data releases 3_Excess bid-ask spread after FOMC surprises Basis points, 3 hours following surprising data releases 4_Excess bid-ask spread after FOMC surprises Basis points, 4 hours following surprising data releases 5_Excess bid-ask spread after FOMC surprises Basis points, 5 hours following surprising data releases 1_Excess bid-ask spread after CPI surprises Basis points, 1 hour following surprising data releases 2_Excess bid-ask spread after CPI surprises Basis points, 2 hours following surprising data releases 3_Excess bid-ask spread after CPI surprises Basis points, 3 hours following surprising data releases 4_Excess bid-ask spread after CPI surprises Basis points, 4 hours following surprising data releases 5_Excess bid-ask spread after CPI surprises Basis points, 5 hours following surprising data releases 1_Excess bid-ask spread after GDP surprises Basis points, 1 hour following surprising data releases 2_Excess bid-ask spread after GDP surprises Basis points, 2 hours following surprising data releases 3_Excess bid-ask spread after GDP surprises Basis points, 3 hours following surprising data releases 4_Excess bid-ask spread after GDP surprises Basis points, 4 hours following surprising data releases 5_Excess bid-ask spread after GDP surprises Basis points, 5 hours following surprising data releases -0.083.884.112.070.821.010.510.350.140.3016.25-0.12-0.11-0.14-0.17-0.060.01-0.010.000.0344.547.336.324.010.230.120.060.030.050.0244.618.985.120.761.8515.21-1.78-2.433.291.36