Public Information Arrival, Exchange Rate Volatility, and Quote Frequency
AbstractThe mixture of distributions model motivates the role of public information arrival in foreign exchange market dynamics. Public information arrival is measured using Reuters Money-Market Headline News. The exchange rates are high-frequency mark/dollar and yen/dollar quotes. Estimation results suggest that higher than normal public information brings more than the normal quoting activity and volatility. The results have implications for the debate over regulation of the foreign exchange market. Foreign exchange activity is not largely self-generating. Trading is likely providing the function it is meant to provide-adjusting prices and quantities to achieve an efficient allocation of resources.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Economic Journal.
Volume (Year): 110 (2000)
Issue (Month): 465 (July)
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Other versions of this item:
- Michael Melvin & Xixi Yin, . "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics.
- F31 - International Economics - - International Finance - - - Foreign Exchange
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