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Macroeconomic news and the euro/dollar exchange rate

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  • Gabriele Galati
  • Corrinne Ho

Abstract

This paper investigates to what extent daily movements in the euro/dollar rate were driven by news about the macroeconomic situation in the United States and the euro area during the first two years of EMU.

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Bibliographic Info

Paper provided by Bank for International Settlements in its series BIS Working Papers with number 105.

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Length: 27 pages
Date of creation: Dec 2001
Date of revision:
Handle: RePEc:bis:biswps:105

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  1. Martin Eichenbaum & Charles Evans, 1992. "Some empirical evidence on the effects of monetary policy shocks on exchange rates," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 92-32, Federal Reserve Bank of Chicago.
  2. Clostermann, Jörg & Schnatz, Bernd, 2000. "The determinants of the euro-dollar exchange rate: synthetic fundamentals and a non-existing currency," Discussion Paper Series 1: Economic Studies 2000,02, Deutsche Bundesbank, Research Centre.
  3. Vincent Koen & Laurence Boone & Alain de Serres & Nicola Fuchs, 2001. "Tracking the Euro," OECD Economics Department Working Papers 298, OECD Publishing.
  4. Chinn, Menzie D & Alquist, Ron, 2000. "Tracking the Euro's Progress," International Finance, Wiley Blackwell, Wiley Blackwell, vol. 3(3), pages 357-73, November.
  5. DeGennaro, Ramon P. & Shrieves, Ronald E., 1997. "Public information releases, private information arrival and volatility in the foreign exchange market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(4), pages 295-315, December.
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