The Exchange Rate Effects of Macro News after the Global Financial Crisis

Yin-Wong Cheung, Rasmus Fatum and Yohei Yamamoto

No GRU_2017_007, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit

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-minute 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)
Pages: 32 pages
Date: 2017-05-24
New Economics Papers: this item is included in nep-mon and nep-mst
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Published in Journal of International Money and Finance, online 24 March 2018

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https://www.cb.cityu.edu.hk/ef/doc/GRU/WPS/GRU%232 ... Fatum%20Yamamoto.pdf (application/pdf)

Related works:
Journal Article: The exchange rate effects of macro news after the global Financial Crisis (2019)
Working Paper: The Exchange Rate Effects of Macro News after the Global Financial Crisis (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:cth:wpaper:gru_2017_007

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