Micro effects of macro announcements: Real-time price discovery in foreign exchange
Publication
, Journal Article
Andersen, TG; Bollerslev, T; Diebold, FX; Vega, C
Published in: American Economic Review
March 1, 2003
Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
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Published In
American Economic Review
DOI
ISSN
0002-8282
Publication Date
March 1, 2003
Volume
93
Issue
1
Start / End Page
38 / 62
Related Subject Headings
- Economics
- 38 Economics
- 35 Commerce, management, tourism and services
- 15 Commerce, Management, Tourism and Services
- 14 Economics
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Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review, 93(1), 38–62. https://doi.org/10.1257/000282803321455151
Andersen, T. G., T. Bollerslev, F. X. Diebold, and C. Vega. “Micro effects of macro announcements: Real-time price discovery in foreign exchange.” American Economic Review 93, no. 1 (March 1, 2003): 38–62. https://doi.org/10.1257/000282803321455151.
Andersen TG, Bollerslev T, Diebold FX, Vega C. Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review. 2003 Mar 1;93(1):38–62.
Andersen, T. G., et al. “Micro effects of macro announcements: Real-time price discovery in foreign exchange.” American Economic Review, vol. 93, no. 1, Mar. 2003, pp. 38–62. Scopus, doi:10.1257/000282803321455151.
Andersen TG, Bollerslev T, Diebold FX, Vega C. Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review. 2003 Mar 1;93(1):38–62.
Published In
American Economic Review
DOI
ISSN
0002-8282
Publication Date
March 1, 2003
Volume
93
Issue
1
Start / End Page
38 / 62
Related Subject Headings
- Economics
- 38 Economics
- 35 Commerce, management, tourism and services
- 15 Commerce, Management, Tourism and Services
- 14 Economics