EconPapers    
Economics at your fingertips  
 

Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies

Kam Fong Chan, Mahesh Chhagan and Alastair Marsden

Pacific-Basin Finance Journal, 2017, vol. 43, issue C, 37-54

Abstract: The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.

Keywords: Scheduled macroeconomic announcements; Foreign exchange rates; Speed of news impact; Persistence of news impact (search for similar items in EconPapers)
JEL-codes: C50 E44 G14 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X17300793
Full text for ScienceDirect subscribers only

Related works:
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:pacfin:v:43:y:2017:i:c:p:37-54

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-05-11
Handle: RePEc:eee:pacfin:v:43:y:2017:i:c:p:37-54