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The Reaction of Exchange Rates and Interest Rates to News Releases

Citations

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Cited by:

  1. Kim, Suk-Joong & Sheen, Jeffrey, 2000. "International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 85-113, March.
  2. Dominique Guégan,Florian Ielpo, 2009. "Further Evidence on the Impact of Economic News on Interest Rates," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(2), pages 1-45, October.
  3. Beber, Alessandro & Brandt, Michael W., 2006. "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1997-2039, November.
  4. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
  5. Özatay, Fatih & Özmen, Erdal & Sahinbeyoglu, Gülbin, 2009. "Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news," Economic Modelling, Elsevier, vol. 26(2), pages 526-531, March.
  6. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
  7. Reinhold Heinlein & Gabriele M. Lepori, 2022. "Do financial markets respond to macroeconomic surprises? Evidence from the UK," Empirical Economics, Springer, vol. 62(5), pages 2329-2371, May.
  8. Alain P. Chaboud & Sergey V. 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.).
  9. Simpson, Marc W. & Ramchander, Sanjay & Chaudhry, Mukesh, 2005. "The impact of macroeconomic surprises on spot and forward foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 693-718, September.
  10. Jolanta Pasionek, 2021. "Response of the USD/MXN Exchange Rate to Macroeconomic Data," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 914-927.
  11. Hashimoto, Yuko & Ito, Takatoshi, 2010. "Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 334-354, September.
  12. Prast, Henriette M. & de Vor, Marc P. H., 2005. "Investor reactions to news: a cognitive dissonance analysis of the euro-dollar exchange rate," European Journal of Political Economy, Elsevier, vol. 21(1), pages 115-141, March.
  13. Ramchander, Sanjay & Simpson, Marc W. & Chaudhry, Mukesh K., 2005. "The influence of macroeconomic news on term and quality spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 84-102, February.
  14. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August.
  15. Rafael R. Rebitzky, 2010. "The Influence Of Fundamentals On Exchange Rates: Findings From Analyses Of News Effects," Journal of Economic Surveys, Wiley Blackwell, vol. 24(4), pages 680-704, September.
  16. Fratzscher, Marcel, 2002. "The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?," Working Paper Series 154, European Central Bank.
  17. Kauffman, Kyle & Weerapana, Akila, 2006. "The Impact of AIDS-Related News on Exchange Rates in South Africa," Economic Development and Cultural Change, University of Chicago Press, vol. 54(2), pages 349-368, January.
  18. 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.
  19. Hess, Dieter E., 2000. "Surprises in scheduled releases: why do they move the bond market?," ZEW Discussion Papers 00-61, ZEW - Leibniz Centre for European Economic Research.
  20. Michael J. Fleming & Eli M Remolona, 1999. "The term structure of announcement effects," BIS Working Papers 71, Bank for International Settlements.
  21. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
  22. Liebermann, Joelle, 2011. "The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance," Research Technical Papers 7/RT/11, Central Bank of Ireland.
  23. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 692-707, June.
  24. Balázs Égert, 2010. "The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa," Open Economies Review, Springer, vol. 21(5), pages 655-677, November.
  25. Égert, Balázs & Kočenda, Evžen, 2014. "The impact of macro news and central bank communication on emerging European forex markets," Economic Systems, Elsevier, vol. 38(1), pages 73-88.
  26. Oscar Bajo Rubio & María Dolores Montávez Garcés, 1998. "Tipo de cambio, expectativas y nueva información: evidencia para el caso de la peseta, 1986-1996," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 9801, Departamento de Economía - Universidad Pública de Navarra.
  27. Young Wook Han, 2010. "The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 24(3), pages 375-396.
  28. Klein, Tony, 2021. "Agree to Disagree? Predictions of U.S. Nonfarm Payroll Changes between 2008 and 2020 and the Impact of the COVID19 Labor Shock," QBS Working Paper Series 2021/07, Queen's University Belfast, Queen's Business School.
  29. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.
  30. Rasidah Mohd SAID, 2013. "Impact of Macroeconomic News on Malaysian Bond Credit Spreads," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(12), pages 1460-1472, December.
  31. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  32. Frank Campbell & Eleanor Lewis, 1998. "What Moves Yields in Australia?," RBA Research Discussion Papers rdp9808, Reserve Bank of Australia.
  33. Mr. Jochen R. Andritzky & Mr. Geoffrey J Bannister & Ms. Natalia T. Tamirisa, 2005. "The Impact of Macroeconomic Announcements on Emerging Market Bonds," IMF Working Papers 2005/083, International Monetary Fund.
  34. John D. Burger, 2004. "The Policy Anticipation Hypothesis: Evidence from the Federal Funds Futures Market," Contemporary Economic Policy, Western Economic Association International, vol. 22(4), pages 544-554, October.
  35. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
  36. Fratzscher, Marcel, 2002. "The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?," Working Paper Series 0154, European Central Bank.
  37. Amigo Dobaño, L., 2003. "Estimación de modelos de “nueva información”: aplicación a los mercados de cambio en períodos de menor y/o mayor espectación," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 21, pages 5-26, Abril.
  38. Klein, Tony, 2022. "Agree to disagree? Predictions of U.S. nonfarm payroll changes between 2008 and 2020 and the impact of the COVID19 labor shock," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 264-286.
  39. 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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