The Reaction of Exchange Rates and Interest Rates to News Releases
This paper examines the response of exchange rates and interest rates--US and foreign--to economic news. The news is associated with the surprise component of the monthly release of six US macroeconomic variables. The results suggest that dollar exchange rates systematically react to news about real economic activity--a surprise of 100,000 on non-farm payroll employment leads to a 0.2% appreciation of the exchange rate. In general, exchange rates do not react systematically to news on inflation. In contrast, US interest rates respond to both types of news, although the response continues to be extremely small, of the order of 1 to 2 basis points. Finally, Japanese interest rates systematically react, but to a very minor extent, to news about US real economic activity, while German rates, in general, do not. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.
Volume (Year): 2 (1997)
Issue (Month): 2 (April)
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/1076-9307/|
|Order Information:||Web: http://jws-edcv.wiley.com/jcatalog/JournalsCatalogOrder/JournalOrder?PRINT_ISSN=1076-9307|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Becker, Kent G & Finnerty, Joseph E & Kopecky, Kenneth J, 1995. "Domestic macroeconomic news and foreign interest rates," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 763-783, December.
- Ghosh, Sucharita & Lien, Donald, 1995. "Data Revision and Market Response: The Case of United States Trade Balance Announcements," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(2), pages 265-75, May.
- Pearce, Douglas K & Roley, V Vance, 1985.
"Stock Prices and Economic News,"
The Journal of Business,
University of Chicago Press, vol. 58(1), pages 49-67, January.
When requesting a correction, please mention this item's handle: RePEc:ijf:ijfiec:v:2:y:1997:i:2:p:87-100. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.