search query: @author Andersen, T. G. / total: 4
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| Author: | Andersen, T. G. |
| Title: | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
| Journal: | American Economic Review
2003 : MAR, VOL. 93:1, p. 38-62 |
| Index terms: | MICROECONOMICS MACROECONOMICS PRICES FOREIGN EXCHANGE |
| Language: | eng |
| Abstract: | Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, the authors characterize the conditional means of U.S. dollar spot exchange rates. In particular, the authors find that announcement surprises 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 new in an asymmetric fashion: bad news has greater impact than good news, which the authors relate to recent theoretical work on information processing and price discovery. |
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