Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Torben G. Andersen (), Tim Bollerslev (), Francis Diebold () and Clara Vega

No 8959, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') produce conditional mean jumps; hence high-frequency exchange rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.

JEL-codes: F3 G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-ifn
Date: 2002-05
Note: AP IFM
View list of references View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/w8959.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
Working Paper: Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? (2002)
Working Paper: Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)
Working Paper: Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)
Journal Article: Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:8959

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w8959
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().