کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963620 | 930376 | 2007 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Macroeconomic news and exchange rates
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper examines the relationship between macroeconomic news and the dollar-Mark and dollar-Yen exchange rates. We employ high-frequency observations for a 10-year period. We investigate whether exchange rate observations need to be sampled at a high frequency in order to detect significant effects from news announcements on mean returns and volatility. We examine the linearity and symmetry of the responses to news and also allow the effects of the news announcements to vary across states of the economy. We find that news indicating a stronger U.S. economy causes an appreciation of the U.S. dollar, that the responses are essentially complete within 5Â min, and that measuring the responses over 6-h intervals eliminates the statistical significance of the news. The effects of news appear linear and symmetric but there is some evidence that the effects depend on the state of the economy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 17, Issue 4, October 2007, Pages 307-325
Journal: Journal of International Financial Markets, Institutions and Money - Volume 17, Issue 4, October 2007, Pages 307-325
نویسندگان
Douglas K. Pearce, M. Nihat Solakoglu,