| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8959 |
| 来源ID | Working Paper 8959 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange | |
| Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Clara Vega | |
| 发表日期 | 2002-05-23 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') 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. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8959 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566567 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,et al. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8959.pdf（398KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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