How do macroeconomic announcements and FX market transactions affect exchange rates?

Norbert Kiss M. () and Klara Pinter
Additional contact information
Norbert Kiss M.: Magyar Nemzeti Bank (central bank of Hungary)
Authors registered in the RePEc Author Service: Norbert Kiss M.

MNB Bulletin (discontinued), 2007, vol. 2, issue 1, 22-30

Abstract: In this paper we analyse the relation between the EUR/HUF exchange rate, economic fundamentals and FX market transactions. Our results are in line with international experiences: the effect of macroeconomic announcements is transmitted to the exchange rate partly directly, with an immediate change in the exchange rate, and partly indirectly, via the information revealed through the FX market transactions, triggered by the news. We found that macroeconomic news, as well as the buying/selling pressure originating from one-way transactions both affect the level of the exchange rate and volatility. Our results also show that around pre-scheduled data releases the one-way transactions move the exchange rate more than under normal circumstances. Furthermore we broadened the commonly used set of macroeconomic news, such as data on GDP, inflation etc., to include the communications of central bankers. The model including central bank communication can explain a considerable part of exchange rate changes.

Keywords: microstructure; order flow; exchange rate; macroeconomic news; central bank communication. (search for similar items in EconPapers)
JEL-codes: F31 G14 G15 (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.mnb.hu/letoltes/bulletin-2007june-kissm-pinter.pdf (application/pdf)

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:mnb:bullet:v:2:y:2007:i:1:p:22-30

Access Statistics for this article

More articles in MNB Bulletin (discontinued) from Magyar Nemzeti Bank (Central Bank of Hungary) Contact information at EDIRC.
Bibliographic data for series maintained by Maja Bajcsy ( this e-mail address is bad, please contact ).