The impact of macroeconomic announcements on real time foreign exchange rates in emerging markets / Fang Cai, Hyunsoo Joo, and Zhiwei Zhang Fang Cai; Hyunsoo Joo; Zhiwei Zhang

User activity

Share to:
View the summary of this work
Authors
Fang Cai ; Hyunsoo Joo ; Zhiwei Zhang
Subjects
Exchange rate - emerging market - macroeconomic news - high-frequency data
Summary
"This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of emerging market exchange rates, but many domestic news do not. Emerging market currencies have become more sensitive to U.S. news in recent years. We also find that market sentiment could sway the impact of news on these currencies systematically, as good (bad) news seems to matter more when optimism (pessimism) prevails. Market uncertainty also interacts with macroeconomic news in a statistically significant way, but its role varies across currencies and news"--Federal Reserve Board web site.
Bookmark
http://trove.nla.gov.au/work/26304
Work ID
26304

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this work

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this work

Add a comment


Show comments and reviews from Amazon users