The impact of the U.S. employment report on exchange rates
Wei Guan and
Yang, Lisa (Zongfei)
Journal of International Money and Finance, 2019, vol. 90, issue C, 257-267
The impact of the U.S. Employment Report and analyst forecasts of that report’s major statistics on Pound/Dollar, Yen/Dollar, and Euro/Dollar exchange rates are explored. While the nonfarm payroll employment figure has the greatest impact, we find that the exchange rates also react to the announced revision to last month’s payroll figure and to the unemployment rate. In all three markets, the exchange rate response to the payroll employment figure is strongly conditioned on pre-release analyst uncertainty. The median analyst forecast from Bloomberg anticipates over 80% of the monthly variation in the payroll figure and is basically unbiased. The markets appear to respond to these analyst forecasts prior to the government release. Analyst forecast dispersion tends to increase following large forecast errors indicating that when the announced figure is far from what analysts expected, they tend to disagree on the implications for future payroll levels.
Keywords: Employment report; Analyst forecasts; Macro announcements; Foreign exchange market (search for similar items in EconPapers)
JEL-codes: F31 G14 G15 G17 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:90:y:2019:i:c:p:257-267
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