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How Do Event Studies Capture Impact of Macroeconomic News in Forex Market? A meta-Analysis

Author

Listed:
  • Kseniya Bortnikova

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Czech Republic)

  • Josef Bajzik

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Czech Republic & Anglo-American University, Prague, Czech Republic)

  • Evzen Kocenda

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Czech Republic)

Abstract

We perform a quantitative synthesis of 807 estimates of the effect of macroeconomic news announcements on exchange rates, as reported in 25 studies. Estimates are tested for publication selection using visual examination of funnel plots, linear asymmetry tests, and recent non-linear testing techniques. Our analysis reveals that after the inclusion of the moderator variables, publication bias has a moderate but statistically significant effect on the reported estimates, although it does not strongly influence their magnitude. The primary sources of heterogeneity are driven by economic conditions, particularly interest rate differentials and inflation regimes. Surprisingly, the type of macroeconomic announcement does not systematically affect the variation in estimated effects, indicating that differences in the nature of the announcements have little impact on the reported results.

Suggested Citation

  • Kseniya Bortnikova & Josef Bajzik & Evzen Kocenda, 2025. "How Do Event Studies Capture Impact of Macroeconomic News in Forex Market? A meta-Analysis," Working Papers IES 2025/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2025.
    • Handle: RePEc:fau:wpaper:wp2025_01
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    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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