Skip to main content
Duke University Libraries
DukeSpace Scholarship by Duke Authors
  • Login
  • Ask
  • Menu
  • Login
  • Ask a Librarian
  • Search & Find
  • Using the Library
  • Research Support
  • Course Support
  • Libraries
  • About
View Item 
  •   DukeSpace
  • Theses and Dissertations
  • Undergraduate Honors Theses and Student papers
  • View Item
  •   DukeSpace
  • Theses and Dissertations
  • Undergraduate Honors Theses and Student papers
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Foreign Exchange Responses to Macroeconomic Surprises: Playing “Peek-a-Boo” with Financial Markets

Thumbnail
View / Download
13.0 Mb
Date
2012-04-16
Author
Nathan, Vignesh
Repository Usage Stats
334
views
4,991
downloads
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.
Type
Honors thesis
Department
Economics
Subject
Foreign-Exchange
Announcements/Surprises
High-Frequency Data
Liquidity
Financial Crisis
Asymmetric Response
Permalink
https://hdl.handle.net/10161/5141
Citation
Nathan, Vignesh (2012). Foreign Exchange Responses to Macroeconomic Surprises: Playing “Peek-a-Boo” with Financial Markets. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/5141.
Collections
  • Undergraduate Honors Theses and Student papers
More Info
Show full item record
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

Rights for Collection: Undergraduate Honors Theses and Student papers


Works are deposited here by their authors, and represent their research and opinions, not that of Duke University. Some materials and descriptions may include offensive content. More info

Make Your Work Available Here

How to Deposit

Browse

All of DukeSpaceCommunities & CollectionsAuthorsTitlesTypesBy Issue DateDepartmentsAffiliations of Duke Author(s)SubjectsBy Submit DateThis CollectionAuthorsTitlesTypesBy Issue DateDepartmentsAffiliations of Duke Author(s)SubjectsBy Submit Date

My Account

LoginRegister

Statistics

View Usage Statistics
Duke University Libraries

Contact Us

411 Chapel Drive
Durham, NC 27708
(919) 660-5870
Perkins Library Service Desk

Digital Repositories at Duke

  • Report a problem with the repositories
  • About digital repositories at Duke
  • Accessibility Policy
  • Deaccession and DMCA Takedown Policy

TwitterFacebookYouTubeFlickrInstagramBlogs

Sign Up for Our Newsletter
  • Re-use & Attribution / Privacy
  • Harmful Language Statement
  • Support the Libraries
Duke University