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The high-frequency response of exchange rates and interest rates to macroeconomic announcements

โœ Scribed by Jon Faust; John H. Rogers; Shing-Yi B. Wang; Jonathan H. Wright


Book ID
113725770
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
770 KB
Volume
54
Category
Article
ISSN
0304-3932

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This paper examines the response of exchange rates and interest rates-US and foreign-to economic news. The news is associated with the surprise component of the monthly release of six US macroeconomic variables. The results suggest that dollar exchange rates systematically react to news about real e