The response of multinationals’ foreign exchange rate exposure to macroeconomic news
Download full text from publisher
References listed on IDEAS
- Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2011.
"Jumps, cojumps and macro announcements,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 26(6), pages 893-921, September.
- Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2007. "Jumps, cojumps and macro announcements," Working Papers 2007-032, Federal Reserve Bank of St. Louis.
- LAHAYE, JÃ©rÃ´me & LAURENT, SÃ©bastien & NEELY, Christopher J., 2011. "Jumps, cojumps and macro announcements," CORE Discussion Papers RP 2413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
More about this item
KeywordsForeign exchange exposure; High-frequency data; Macro;
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- F3 - International Economics - - International Finance
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-08-06 (All new papers)
- NEP-MAC-2017-08-06 (Macroeconomics)
- NEP-MST-2017-08-06 (Market Microstructure)
- NEP-OPM-2017-08-06 (Open Economy Macroeconomics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedlwp:2017-020. 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: (Anna Oates). General contact details of provider: http://edirc.repec.org/data/frbslus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.