Advanced Search
MyIDEAS: Login to save this article or follow this journal

The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior


Author Info

  • Almeida, Alvaro
  • Goodhart, Charles
  • Payne, Richard


This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. The new content of each announcement is extracted using a set of market expectation figures supplied by MMS International. By using data sampled at a high (5 Minute) frequency we are able to identify systematic impacts of most announcements on the exchange rate change in the 15 minutes post-announcement. The impacts of news on the exchange rate, however, can be seen to lose significance very quickly when the observation horizon for the exchange rate is increased, so that for most announcements there is little effect of news on the exchange rate change by the end of the three hours immediately after release. Both the responses to U.S. And German news are broadly consistent with a monetary authority reaction function hypothesis, i.e., the market expects the Fed or the Bundesbank to respond to news on increased real activity, for example, by raising short term interest rates in order to head off the possibility of future inflation. Further, the use of German data allows us to examine two questions the previous literature could not tackle, because, unlike U.S. announcements, German announcements are not Scheduled. First, we show that the time-patten of the reaction of the exchange rate to the U.S. scheduled announcements is different from the reaction to the German non-scheduled announcements, the former being much quicker. Second, we are able to examine the effect on the exchange rate change of the proximity of other events to the announcement. Results show that German news is most influential when released just prior to a Bundesbank council meeting Finanlly subsidiary results demonstrate the efficiency of the intra-day FX market with respect to these announcements and map the pattern of volatility these releases cause.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
File Function: link to article abstract page
Download Restriction: no

Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 33 (1998)
Issue (Month): 03 (September)
Pages: 383-408

as in new window
Handle: RePEc:cup:jfinqa:v:33:y:1998:i:03:p:383-408_00

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page:

Related research


Other versions of this item:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:33:y:1998:i:03:p:383-408_00. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.