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Macroeconomic news and the euro/dollar exchange rate

Author

Listed:
  • 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.

Suggested Citation

  • Gabriele Galati & Corrinne Ho, 2001. "Macroeconomic news and the euro/dollar exchange rate," BIS Working Papers 105, Bank for International Settlements.
    • Handle: RePEc:bis:biswps:105
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    References listed on IDEAS

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    12. Bailey, Warren Bernard, 1988. "Money Supply Announcements and the Ex Ante Volatility of Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(4), pages 611-620, November.
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    Cited by:

    1. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2018. "Exchange rates and macro news in emerging markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 516-527.
    2. Michael Ehrmann & Marcel Fratzscher, 2003. "Interdependence between the Euro area and the U.S.: what role for EMU?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    3. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2017. "Macro news and exchange rates in the BRICS," Finance Research Letters, Elsevier, vol. 21(C), pages 140-143.
    4. Renato Filosa, 2003. "Shock monetari e reali, ciclo economico e valore dell' euro," Moneta e Credito, Economia civile, vol. 56(223), pages 295-324.
    5. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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