Show simple item record Bollerslev, Tim en_US Andersen, T.G. en_US Diebold, F. X. en_US Vega, C. en_US 2010-03-09T15:22:39Z 2010-03-09T15:22:39Z 2003 en_US
dc.description.abstract 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. en_US
dc.format.extent 866163 bytes
dc.format.extent 866163 bytes
dc.format.mimetype application/pdf
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher American Economic Review en_US
dc.subject Anticipations data en_US
dc.subject Asset return volatility en_US
dc.subject Expectations data en_US
dc.subject Forecasting en_US
dc.subject Macroeconomic news announcements en_US
dc.subject Market microstructure en_US
dc.subject Order flow en_US
dc.subject exchange rates en_US
dc.title "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange" en_US
dc.type Journal Article en_US
dc.department Economics

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