The study looks at how sudden changes in interest rates affect the future exchange rates between different currencies. By creating a model that includes central bank policies and interest rate jumps, the researchers found that these jumps can impact the pricing of forward exchange rates for USD/CAD and USD/JPY. Using statistical methods, they identified jumps in interest rates linked to economic news. The study suggests that their model improves upon existing ones when it comes to predicting exchange rates. Additionally, when interest rates jump, the shape of future exchange rate volatility can change based on factors like the speed of adjustment of foreign interest rates and the correlation between exchange rates and foreign interest rates.