The exchange rate effects of macro news after the global Financial Crisis
Yin-Wong Cheung,
Rasmus Fatum and
Yohei Yamamoto
Journal of International Money and Finance, 2019, vol. 95, issue C, 424-443
Abstract:
We explore whether the exchange rate effects of macro news are time- and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Crisis. A comprehensive set totaling 40 time-stamped US and Japanese news variables and preceding survey expectations along with 5-min indicative JPY/USD quotes spanning the 1 January 1999 to 31 August 2016 period facilitate our analysis. Our results suggest that while US macro news are now more important than before the Crisis, the influence of Japanese macro news has waned to the point of near-irrelevance. These findings are of particular importance to exchange rate modeling of the New Era.
Keywords: Foreign exchange rates; Macro news surprises; Global Financial Crisis (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (11)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026156061830158X
Full text for ScienceDirect subscribers only
Related works:
Working Paper: The Exchange Rate Effects of Macro News after the Global Financial Crisis (2017) 
Working Paper: The Exchange Rate Effects of Macro News after the Global Financial Crisis (2017) 
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: https://EconPapers.repec.org/RePEc:eee:jimfin:v:95:y:2019:i:c:p:424-443
DOI: 10.1016/j.jimonfin.2018.03.009
Access Statistics for this article
Journal of International Money and Finance is currently edited by J. R. Lothian
More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().