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The employment report and the dollar

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  • Ethan S. Harris
  • Natasha M. Zabka
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    Abstract

    Perhaps no piece of news garners more attention in exchange markets than the U.S. employment report. Yet there has been only limited research on the market's response to the monthly release. This article quantifies the impact of the report and explains why exchange market sensitivity to the employment announcements has increased over time.

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    File URL: http://www.newyorkfed.org/research/current_issues/ci1-8.html
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    File URL: http://www.newyorkfed.org/research/current_issues/ci1-8.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of New York in its journal Current Issues in Economics and Finance.

    Volume (Year): 1 (1995)
    Issue (Month): Nov ()
    Pages:

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    Handle: RePEc:fip:fednci:y:1995:i:nov:n:v.1no.8

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    Related research

    Keywords: Employment (Economic theory) ; Foreign exchange ; Dollar; American;

    References

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    1. Maurice Obstfeld, 1985. "Floating Exchange Rates: Experience and Prospects," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 16(2), pages 369-464.
    2. Meese, Richard, 1990. "Currency Fluctuations in the Post-Bretton Woods Era," Journal of Economic Perspectives, American Economic Association, vol. 4(1), pages 117-34, Winter.
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    Cited by:
    1. D. Jansen & J. de Haan, 2003. "Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate," WO Research Memoranda (discontinued) 726, Netherlands Central Bank, Research Department.
    2. Jansen, David-Jan & De Haan, Jakob, 2005. "Talking heads: the effects of ECB statements on the euro-dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 343-361, March.
    3. Tanner, Glenn, 1997. "A note on economic news and intraday exchange rates," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 573-585, April.
    4. Simpson, Marc W. & Ramchander, Sanjay & Chaudhry, Mukesh, 2005. "The impact of macroeconomic surprises on spot and forward foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 693-718, September.
    5. Oberlechner, Thomas & Hocking, Sam, 2004. "Information sources, news, and rumors in financial markets: Insights into the foreign exchange market," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 407-424, June.

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