Does FOMC News Increase Global FX Trading?

Andreas Fischer (afischer@liuc.it) and Angelo Ranaldo

No 6753, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The CLS measure captures roughly half of the global trading volume in foreign exchange (FX) markets. We find strong evidence that trading volume increases in the order of 5% across currency areas on FOMC days during 2003 to 2007. This result holds irrespective of the size of price changes in currency markets and FOMC policy shocks. The new evidence of excess FX trading on FOMC days is inconsistent with standard models of the asset market approach with homogenous agents.

Keywords: Fomc; Global linkages; Trading volume (search for similar items in EconPapers)
JEL-codes: F31 G12 (search for similar items in EconPapers)
Date: 2008-03
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mon and nep-mst
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Does FOMC news increase global FX trading? (2011)
Working Paper: Does FOMC News Increase Global FX Trading? (2008)
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