| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11769 |
| 来源ID | Working Paper 11769 |
| What Defines \"News\" in Foreign Exchange Markets? | |
| Kathryn Dominguez; Freyan Panthaki | |
| 发表日期 | 2005-11-14 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper examines whether the traditional sets of macro surprises, that most of the literature considers, are the only sorts of news that can explain exchange rate movements. We examine the intra-daily influence of a broad set of news reports, including variables which are not typically considered "fundamentals" in the context of standard models of exchange rate determination, and ask whether they too help predict exchange rate behavior. We also examine whether "news" not only impacts exchange rates directly, but also influences exchange rates via order flow (signed trade volume). Our results indicate that along with the standard fundamentals, both non-fundamental news and order flow matter, suggesting that future models of exchange rate determination ought to include all three types of explanatory variables. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11769 |
| 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/569420 |
| 推荐引用方式 GB/T 7714 | Kathryn Dominguez,Freyan Panthaki. What Defines \"News\" in Foreign Exchange Markets?. 2005. |
| 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 | ||
| w11769.pdf（4219KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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