The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior
- 1 September 1998
- journal article
- research article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 33 (3) , 383-408
- https://doi.org/10.2307/2331101
Abstract
This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. By using data sampled at a five-minute frequency, we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post-announcement, although the significance of these effects decreases rapidly as the interval over which the post-announcement change in exchange rates is increased. The direction of the exchange rate response conforms, in general, with a reaction function interpretation whereby reactions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets. Further, we detect influences of German monetary policy decisions on the reaction of the exchange rate, and also differences between U.S. and German announcements in the exchange rate reaction time pattern.Keywords
All Related Versions
This publication has 2 references indexed in Scilit:
- Discretion versus policy rules in practiceCarnegie-Rochester Conference Series on Public Policy, 1993
- Balance of trade announcements and asset prices: influence on equity prices, exchange rates, and interest ratesJournal of International Money and Finance, 1992