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We find that US monetary policy shocks are an important driver of the exchange rate movements, with no delayed overshooting. We show that estimates of spillover effects of US monetary policy shocks on the inflation and real economic activity would be distorted without considering time variation in instrument relevance, and time variation in policy effects reflects primarily varying shock size, not their transmission.<\/jats:p>","DOI":"10.1002\/jae.2998","type":"journal-article","created":{"date-parts":[[2023,7,10]],"date-time":"2023-07-10T01:24:16Z","timestamp":1688952256000},"page":"989-1006","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time\u2010varying instrument relevance"],"prefix":"10.1002","volume":"38","author":[{"given":"Wenting","family":"Liao","sequence":"first","affiliation":[{"name":"School of Finance Renmin University of China  Beijing China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jun","family":"Ma","sequence":"additional","affiliation":[{"name":"Department of Economics Northeastern University  Boston Massachusetts USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Chengsi","family":"Zhang","sequence":"additional","affiliation":[{"name":"School of Finance and China Financial Policy Research Center Renmin University of China  Beijing China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2023,7,9]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2018.1459302"},{"key":"e_1_2_7_3_1","unstructured":"Amir\u2010Ahmadi P. 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