Does FOMC News Increase Global FX Trading?

Andreas Fischer () and Angelo Ranaldo

No 2008-09, Working Papers from Swiss National Bank

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: Trading volume; FOMC; Global linkages (search for similar items in EconPapers)
JEL-codes: F31 G12 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.snb.ch/en/publications/research/workin ... orking_paper_2008_09 (text/html)

Related works:
Journal Article: Does FOMC news increase global FX trading? (2011)
Working Paper: Does FOMC News Increase Global FX Trading? (2008)
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:snb:snbwpa:2008-09

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Enzo Rossi ().