Exchange Rates and FOMC Days Michael Melvin* Arizona State University *Department of Economics, Arizona State University, Tempe, AZ 85287-3806, Phone: 480- 965-6860, email: mmelvin@asu.edu . Helpful comments were received from the editor (Paul Evans), two anonymous referees, and seminar participants at the Econometric Society winter meetings, Deutsche Bundesbank, Bank for International Settlements, University of Frankfurt, University of Freiburg, University of Miami, U.C. Santa Cruz, U.C. San Diego, and University of Warwick. Patricia Ramirez contributed to the early stages of this paper. Able research assistance was provided by Eugenio Dante Suarez. This paper was started while the author was visiting UCSD. He thanks the faculty and staff for providing a productive environment for work and discussion of related issues.