A new approach to the evaluation and selection of leading indicators
AbstractThis note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the percentage change between the means of symmetrically sampled values of daily exchange rate and interest rates before and after the announcement day to the distribution of absolute changes in means for all periods excluding non-farm payroll news. We find a highly significant reaction for both the DEM/USD rate and bond yields, depending on the window size. Short-term US interest rates, by contrast are hardly affected. Finally, the reaction of inflation indexed bond yields to news announcements is investigated.. --
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Bibliographic InfoPaper provided by Deutsche Bank Research in its series Research Notes with number 98-2.
Date of creation: 1998
Date of revision:
leading indicator; turning point; prediction;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
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