IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior"

by Almeida, Alvaro & Goodhart, Charles & Payne, Richard

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1322-1332, July.
  2. Chun Lee & Ike Mathur & Kimberly Gleason, 2005. "The tick/volatility ratio as a determinant of the compass rose pattern," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 93-109.
  3. Fair, Ray C., 2003. "Shock effects on stocks, bonds, and exchange rates," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 307-341, June.
  4. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012. "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 337-355.
  5. Kathryn M.E. Dominguez & Rasmus Fatum & Pavel Vacek, 2010. "Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?," NBER Working Papers 16044, National Bureau of Economic Research, Inc.
  6. Luci Ellis & Eleanor Lewis, 2001. "The Response of Financial Markets in Australia and New Zealand to News about the Asian Crisis," RBA Research Discussion Papers rdp2001-03, Reserve Bank of Australia.
  7. David-Jan Jansen & Jakob de Haan, 2003. "Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate," CESifo Working Paper Series 927, CESifo Group Munich.
  8. Andrew Clare & Roger Courtenay, 2001. "Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes," Bank of England working papers 125, Bank of England.
  9. Rasmus Fatum & Jesper Pedersen, 2007. "Real-Time Effects of Central Bank Interventions in the Euro Market," EPRU Working Paper Series 07-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
  10. Dominguez, Kathryn M.E., 2006. "When do central bank interventions influence intra-daily and longer-term exchange rate movements?," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1051-1071, November.
  11. Andrew Swiston & Tamim Bayoumi, 2007. "The Ties That Bind; Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields," IMF Working Papers 07/128, International Monetary Fund.
  12. Tiffany Hutcheson, 2003. "Exchange Rate Movements As Explained By Dealers," Economic Papers, The Economic Society of Australia, vol. 22(3), pages 35-46, 09.
  13. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
  14. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan.
  15. Helinä Laakkonen, 2007. "The Impact of Macroeconomic News on Exchange Rate Volatility," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 23-40, Spring.
  16. Ehrmann, Michael & Fratzscher, Marcel, 2005. "Exchange rates and fundamentals: new evidence from real-time data," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 317-341, March.
  17. Fischer, Andreas M & Ranaldo, Angelo, 2008. "Does FOMC News Increase Global FX Trading?," CEPR Discussion Papers 6753, C.E.P.R. Discussion Papers.
  18. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research and International Relations Area.
  19. David Veredas & Juan M. Rodríguez-Poo & Antoni Espasa, 2001. "On The (Intradaily) Seasonality And Dynamics Of A Financial Point Process: A Semiparametric Approach," Statistics and Econometrics Working Papers ws013321, Universidad Carlos III, Departamento de Estadística y Econometría.
  20. Hess, Dieter & Orbe, Sebastian, 2011. "Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test," CFR Working Papers 11-13, University of Cologne, Centre for Financial Research (CFR).
  21. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers 264, WIFO.
  22. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
  23. M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
  24. Amstad, Marlene & Fischer, Andreas M, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers.
  25. Laakkonen, Helinä & Lanne, Markku, 2008. "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times," MPRA Paper 8296, University Library of Munich, Germany.
  26. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May.
  27. Terry Boulter & Celeste Ping Fern Tan, 2000. "The Short Run Impact of Scheduled Macroeconomic Announcements on the Australian Dollar during 1998," School of Economics and Finance Discussion Papers and Working Papers Series 082, School of Economics and Finance, Queensland University of Technology.
  28. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  29. Kathryn M.E. Dominguez & Rasmus Fatum & Pavel Vacek, 2013. "Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 867-890, 08.
  30. Rasmus Fatum & Michael Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization and Monetary Policy Institute Working Paper 49, Federal Reserve Bank of Dallas.
  31. Alain P. Chaboud & Sergey Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).
  32. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis.
  33. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.
  34. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
  35. Matthias Bauer & Martin Zenker, 2012. "Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series 2012-32, Friedrich-Schiller-University Jena.
  36. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan.
  37. Han, Young Wook, 2008. "Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates," Japan and the World Economy, Elsevier, vol. 20(4), pages 585-600, December.
  38. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
  39. Jansen, David-Jan & de Haan, Jakob, 2007. "Were verbal efforts to support the euro effective? A high-frequency analysis of ECB statements," European Journal of Political Economy, Elsevier, vol. 23(1), pages 245-259, March.
  40. Richard Podpiera, 2001. "Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases," Finance 0012005, EconWPA.
  41. Pu, Xiaoling & Zhang, Jianing, 2012. "Can dual-currency sovereign CDS predict exchange rate returns?," Finance Research Letters, Elsevier, vol. 9(3), pages 157-166.
  42. M. A. H. Dempster & C. M. Jones, 2002. "Can channel pattern trading be profitably automated?," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 275-301.
  43. Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," ISER Discussion Paper 0620, Institute of Social and Economic Research, Osaka University.
  44. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance 0305009, EconWPA.
  45. Ding, Liang & Hiltrop, Jonas, 2010. "The electronic trading systems and bid-ask spreads in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 323-345, October.
  46. Canto, Bea & Kräussl, Roman, 2006. "Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets," CFS Working Paper Series 2006/25, Center for Financial Studies (CFS).
  47. Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
  48. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
  49. Manfen Chen & Rohan Christie-David & William Moore, 2007. "Deregulation, news releases, and price discovery," Journal of Regulatory Economics, Springer, vol. 31(3), pages 289-312, June.
  50. Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
  51. Gropp, Reint & Kadareja, Arjan, 2006. "Stale information, shocks and volatility," Working Paper Series 0686, European Central Bank.
  52. Yoshiro Tsutsui & Kenjiro Hirayama, 2008. "How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data," Discussion Papers in Economics and Business 08-32, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  53. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 185-207, December.
  54. Tiffany Hutcheson, 2000. "Trading in the Australian Foreign Exchange Market," Working Paper Series 107, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  55. Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Taylor, 2009. "Bank of England Interest Rate Announcements and the Foreign Exchange Market," CESifo Working Paper Series 2613, CESifo Group Munich.
  56. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "Was bewegt den DAX?," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 66(23), pages 32-36, December.
  57. Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers 2010-018, Federal Reserve Bank of St. Louis.
  58. Hess, Dieter E., 2003. "Determinants of the relative price impact of unanticipated information in US macroeconomic releases," Frankfurt School - Working Paper Series 46, Frankfurt School of Finance and Management.
  59. Wan, Yang & Clutter, Michael L. & Siry, Jacek P. & Mei, Bin, 2013. "Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010," Forest Policy and Economics, Elsevier, vol. 28(C), pages 15-22.
  60. Pearce, Douglas K. & Solakoglu, M. Nihat, 2007. "Macroeconomic news and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 307-325, October.
  61. Christie-David, Rohan & Chaudhry, Mukesh & Koch, Timothy W., 2000. "Do macroeconomics news releases affect gold and silver prices?," Journal of Economics and Business, Elsevier, vol. 52(5), pages 405-421.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.