کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964432 930526 2006 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
What defines ‘news’ in foreign exchange markets?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
What defines ‘news’ in foreign exchange markets?
چکیده انگلیسی

This paper examines whether the traditional sets of macro surprises, that most of the literature considers, are the only sorts of news that can explain exchange-rate movements. We examine the intra-daily influence of a broad set of news reports, including variables which are not typically considered “fundamentals” in the context of standard models of exchange-rate determination, and ask whether they too help predict exchange-rate behavior. We also examine whether “news” not only impacts exchange rates directly, but also influences exchange rates via order flow (signed trade volume). Our results indicate that along with the standard fundamentals, both non-fundamental news and order-flow matter, suggesting that future models of exchange-rate determination ought to include all three types of explanatory variables.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 25, Issue 1, February 2006, Pages 168–198
نویسندگان
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