The article examines how the exchange rate responds to changes in monetary policy using a special statistical method. By including measures of uncertainty and using specific constraints, the study shows that when the US tightens its monetary policy, the US dollar gets stronger right away, reaching its peak in two to three months. If we don't consider uncertainty or use different constraints, the exchange rate might behave strangely. Overall, monetary policy changes play a big role in the ups and downs of the US dollar.