Show simple item record

dc.contributor.author Nathan, Vignesh
dc.date.accessioned 2012-04-16T15:56:52Z
dc.date.available 2012-04-16T15:56:52Z
dc.date.issued 2012-04-16
dc.identifier.uri http://hdl.handle.net/10161/5141
dc.description.abstract This paper explores the relationship between precisely timed macroeconomic “news” (or “surprises”) and the immediate currency price fluctuations that surround them. Using data from 2005-2011, I find significant movements in foreign exchange markets around a variety of announcements (unemployment, GDP, retail sales, inflation) for three different countries (United States, Australia, Canada). My results demonstrate that in the very short-run, as in the long run, the value of a country’s currency is driven by its macroeconomic fundamentals. Upon further investigation, this paper also uncovers the following financial phenomena in these foreign exchange responses to macroeconomic surprises: asymmetric response, nonlinearity, financial stress, liquidity, and exchange rate specificity. These phenomena refer to the difference in responses between: positive and negative surprises, big versus small surprises, pre-crisis versus crisis surprises, ten- versus sixty-minute returns, and two distinct reference currencies, respectively. en_US
dc.subject Foreign-Exchange en_US
dc.subject Announcements/Surprises en_US
dc.subject High-Frequency Data en_US
dc.subject Liquidity en_US
dc.subject Financial Crisis en_US
dc.subject Asymmetric Response en_US
dc.title Foreign Exchange Responses to Macroeconomic Surprises: Playing “Peek-a-Boo” with Financial Markets en_US
dc.department Economics en_US

Files in this item

This item appears in the following Collection(s)

Show simple item record