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Citations for "Do currency markets absorb news quickly?"

by Evans, Martin D.D. & Lyons, Richard K.

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  1. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts," SIRE Discussion Papers 2010-107, Scottish Institute for Research in Economics (SIRE).
  2. Fratzscher, Marcel, 2006. "On the long-term effectiveness of exchange rate communication and interventions," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 146-167, February.
  3. Schulmeister, Stephan, 2009. "Aggregate trading behaviour of technical models and the yen/dollar exchange rate 1976-2007," Japan and the World Economy, Elsevier, vol. 21(3), pages 270-279, August.
  4. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris West - Nanterre la Défense, EconomiX.
  5. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
  6. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  7. Fatum, Rasmus & Scholnick, Barry, 2008. "Monetary policy news and exchange rate responses: Do only surprises matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1076-1086, June.
  8. Fischer, Andreas M. & Ranaldo, Angelo, 2011. "Does FOMC news increase global FX trading?," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2965-2973, November.
  9. Evans, Martin D.D., 2010. "Order flows and the exchange rate disconnect puzzle," Journal of International Economics, Elsevier, vol. 80(1), pages 58-71, January.
  10. Michael Ehrmann & Chiara Osbat & Jan Strasky & Lenno Uusküla, 2013. "The Euro exchange rate during the European sovereign debt crisis – dancing to its own tune?," Bank of Estonia Working Papers wp2013-3, Bank of Estonia, revised 24 May 2013.
  11. P. Siklos, M. Bohl, 2006. "Policy Words and Policy Deeds: The ECB and the Euro," Working Papers eg0050, Wilfrid Laurier University, Department of Economics, revised 2006.
  12. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers 264, WIFO.
  13. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers gueconwpa~05-05-20, Georgetown University, Department of Economics.
  14. Lazarczyk, Ewa, 2016. "Market-specific news and its impact on forward premia on electricity markets," Energy Economics, Elsevier, vol. 54(C), pages 326-336.
  15. El Ouadghiri, Imane & Uctum, Remzi, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Economic Modelling, Elsevier, vol. 54(C), pages 218-234.
  16. Marcel Fratzscher, 2008. "US shocks and global exchange rate configurations," Economic Policy, CEPR;CES;MSH, vol. 23, pages 363-409, 04.
  17. Takatoshi Ito & Yuko Hashimoto, 2006. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Working Papers 12682, National Bureau of Economic Research, Inc.
  18. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan.
  19. Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," MNB Working Papers 2009/3, Magyar Nemzeti Bank (Central Bank of Hungary).
  20. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  21. Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
  22. Radovan Fiser & Roman Horvath, 2010. "Central bank communication and exchange rate volatility: a GARCH analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(1), pages 25-31.
  23. Martin Evans and Dagfinn Rime, 2010. "Micro Approaches to foreign Exchange Determination," Working Papers gueconwpa~10-10-04, Georgetown University, Department of Economics.
  24. Hans DEWACHTER & Deniz ERDEMLIOGLU & Jean-Yves GNABO & Christelle LECOURT, 2013. "The intra-day impact of communication on euro-dollar volatility and jumps," Working Papers Department of Economics ces13.04, KU Leuven, Faculty of Economics and Business, Department of Economics.
  25. Pippenger, John, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series qt97m8z6hw, Department of Economics, UC Santa Barbara.
  26. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  27. Takagi, Shinji & Pham, Thi Hoang Anh, 2011. "Responding to the global financial crisis: Vietnamese exchange rate policy, 2008–2009," Journal of Asian Economics, Elsevier, vol. 22(6), pages 507-517.
  28. 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.
  29. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  30. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
  31. Walid Ben Omrane & Christian Hafner, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, vol. 48(2), pages 577-607, March.
  32. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
  33. 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.
  34. George J. Jiang & Ingrid Lo, 2011. "Private Information Flow and Price Discovery in the U.S. Treasury Market," Staff Working Papers 11-5, Bank of Canada.
  35. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-02, Department of Economics, Williams College.
  36. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
  37. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Staff Working Papers 07-27, Bank of Canada.
  38. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo Group Munich.
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