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The impact of macroeconomic surprises on spot and forward foreign exchange markets

✍ Scribed by Marc W. Simpson; Sanjay Ramchander; Mukesh Chaudhry

Book ID
116658683
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
224 KB
Volume
24
Category
Article
ISSN
0261-5606

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## Abstract In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated