Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies

The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.