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New Effects in a High-Frequency Model of the Sterling-Dollar Exchange Rate

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Author Info
Goodhart, C A E, et al
Abstract

This paper uses an extremely high frequency data set on the dollar-sterling exchange rate to investigate the impact of news events on the very short-term movements in exchange rates. The data set is a continuous record of the quoted price for the exchange rate on the Reuters screen. As such it records some 130,000 observations over an 8-week period. The paper investigates the time-series properties of the data using orthodox regression models, and then by making allowance for a time-varying conditional variance. The conclusions vary significantly in moving to this more sophisticated model. The exercises are repeated now incorporating news announcement effects, letting these affect the level of the exchange rate and then the conditional variance process. Again it is found that the conclusions are radically altered in moving to the increasingly sophisticated model. Coauthors are S. G. Hall, S. G. G. Henry, and B. Pesaran. Copyright 1993 by John Wiley & Sons, Ltd.

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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 8 (1993)
Issue (Month): 1 (Jan.-March)
Pages: 1-13
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Handle: RePEc:jae:japmet:v:8:y:1993:i:1:p:1-13

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  1. Parker, John, 2007. "The Impact Of Economic News On Financial Markets," MPRA Paper 2675, University Library of Munich, Germany. [Downloadable!]
  2. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance 0305009, EconWPA. [Downloadable!]
  3. P. Siklos, M. Bohl, 2006. "Policy Words and Policy Deeds: The ECB and the Euro," Working Papers eg0050, Wilfrid Laurier University, Department of Economics, revised 2006. [Downloadable!]
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  4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  5. 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. [Downloadable!]
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  6. Yuko Hashimoto, 2004. "The Impact of the Japanese Banking Crisis on the Intraday FX Market," Econometric Society 2004 Far Eastern Meetings 679, Econometric Society. [Downloadable!]
  7. Aaron Drew & Özer Karagedikli, 2008. "Some benefits of monetary policy transparency in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/01, Reserve Bank of New Zealand. [Downloadable!]
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  8. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Terry Boulter & Celeste Ping Fern Tan, 2000. "The Short Run Impact of Scheduled Macroeconomic Announcements on the Australian Dollar during 1998," School of Economics and Finance Discussion Papers and Working Papers Series 082, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  11. Anna Calamia, 1999. "Market Microstructure: Theory and Empirics," LEM Papers Series 1999/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  12. Bea Canto & Roman Kräussl, 2006. "Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets," CFS Working Paper Series 2006/25, Center for Financial Studies. [Downloadable!]
  13. Rodney C Wolff & C.S. Robertson & S. Geva, 2006. "Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes?," Rodney Wolff Papers 2006-2, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  14. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
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