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Trade balance news and exchange rates: Is there a policy signal?
1 references·12 citing·49 second hopsampled
Trade balance news and exchange rates: Is there a policy signal? (1991)Trade balance news and exchange rates: Is…Economic news, exchange rates and interest rates (1988)Economic news, exchange rates…Macro Uncertainty and Currency Premia (2017)Macro Uncertainty and Currenc…A Survey of Announcement Effects on Foreign Exchange Returns (2010)A Survey of Announcement Effe…Macroeconomic news and exchange rates (2006)Macroeconomic news and exchan…Relative importance of scheduled macroeconomic news for stock market investors (2003)Relative importance of schedu…Macroeconomic News and the Euro/Dollar Exchange Rate (2003)Macroeconomic News and the Eu…Do Australian and the US macroeconomic news announcements affect the USD/AUD exchange rate? Some evidence from E-GARCH estimations (1998)Do Australian and the US macr…Asymmetric impact of trade balance news on asset prices (1998)Asymmetric impact of trade ba…A note on economic news and intraday exchange rates (1997)A note on economic news and i…Exchange rates, interest rates and current account news: some evidence from Australia (1995)Exchange rates, interest rate…Domestic macroeconomic news and foreign interest rates (1995)Domestic macroeconomic news a…Sources of meteor showers and heat waves in the foreign exchange market (1994)Sources of meteor showers and…Daily Bundesbank and Federal Reserve Interventions (1994)Daily Bundesbank and Federal …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expectations and Exchange Rate Dynamics (1976)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps (2011)Self-monitoring or reliance on media reporting: How do financial market participants process central bank news? (2015)Intraday effect of news on emerging European forex markets: An event study analysis (2018)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Macroeconomic News and Stock Returns in the United States and Germany (2006)Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements (2006)An analysis of inflation and stock returns for the UK (2010)Lessons for International Asset Allocation (1993)Factors Influencing Individual Investor Behavior (1994)The intraday relationship between volume and volatility in LIFFE futures markets (1999)International linkages and macroeconomic news effects on interest rate volatility — Australia and the US (2000)The spillover effects of US and Japanese public information news in advanced Asia-Pacific stock markets (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Exchange rate volatility: Does politics matter? 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(2006)Central bank FOREX interventions assessed using realized moments (2007)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models (2005)Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times (2009)A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)Empirical exchange rate models of the seventies (1983)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)The surprise element: jumps in interest rates (2002)How is macro news transmitted to exchange rates? (2008)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring and Testing the Impact of News on Volatility (1993)Macroeconomic factors of exchange rate volatility (2007)Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand: A Markov Switching VAR Approach (2011)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar (1997)Informational linkages across trading regions: Evidence from foreign exchange markets (2007)The handbook of international economics (1995)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)International macroeconomic announcements and intraday euro exchange rate volatility (2010)The effects of economic news on commodity prices (2010)
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References

  • 1988Economic news, exchange rates and interest rates212 cited

Cited by

  • 1994Sources of meteor showers and heat waves in the foreign exchange market82 cited
  • 2003Macroeconomic News and the Euro/Dollar Exchange Rate82 cited
  • 2003Relative importance of scheduled macroeconomic news for stock market investors67 cited
  • 2006Macroeconomic news and exchange rates54 cited
  • 2010A Survey of Announcement Effects on Foreign Exchange Returns53 cited
  • 1994Daily Bundesbank and Federal Reserve Interventions48 cited
  • 1995Exchange rates, interest rates and current account news: some evidence from Australia45 cited
  • 1995Domestic macroeconomic news and foreign interest rates43 cited
  • 1998Do Australian and the US macroeconomic news announcements affect the USD/AUD exchange rate? Some evidence from E-GARCH estimations38 cited
  • 2017Macro Uncertainty and Currency Premia32 cited
  • 1998Asymmetric impact of trade balance news on asset prices24 cited
  • 1997A note on economic news and intraday exchange rates22 cited

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