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THE REACTION OF EXCHANGE RATES TO ECONOMIC NEWS
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THE REACTION OF EXCHANGE RATES TO ECONOMIC NEWS (1985)THE REACTION OF EXCHANGE RATES TO ECONOMI…Economic news, exchange rates and interest rates (1988)Economic news, exchange rates…Stock Prices and Economic News (1985)Stock Prices and Economic NewsWhy interest rates react to money announcements (1984)Why interest rates react to m…Stock Prices and Economic News (1984)Stock Prices and Economic NewsThe Money Supply Announcements Puzzle: Review and Interpretation (1983)The Money Supply Announcement…Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s (1981)Flexible Exchange Rates, Pric…Exchange Rate Economics: Where Do We Stand? (1980)Exchange Rate Economics: Wher…On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market (1979)Empirical regularities in the…Exchange rate return predictability in times of geopolitical risk (2022)Exchange rate return predicta…Exchange rate expectations and economic policy uncertainty (2016)Exchange rate expectations an…What defines ‘news’ in foreign exchange markets? (2006)What defines ‘news’ in foreig…The impact of macroeconomic surprises on spot and forward foreign exchange markets (2005)The impact of macroeconomic s…Do currency markets absorb news quickly? (2005)Do currency markets absorb ne…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…How is Macro News Transmitted to Exchange Rates? (2003)How is Macro News Transmitted…Time-varying liquidity in foreign exchange (2002)Time-varying liquidity in for…‘Once-in-a-generation’ yen volatility in 1998: fundamentals, intervention, and order flow (2001)‘Once-in-a-generation’ yen vo…Public Information Arrival, Exchange Rate Volatility, and Quote Frequency (2000)Public Information Arrival, E…Monetary Policy Actions, Intervention, and Exchange Rates: A Reexamination of the Empirical Relationships Using Federal Funds Rate Target Data (1998)Monetary Policy Actions, Inte…Economic News and the Yield Curve: Evidence from the U.S. Treasury Market (1998)Economic News and the Yield C…THE IMPACT OF MONEY ON SHORT‐TERM INTEREST RATES (1987)THE IMPACT OF MONEY ON SHORT‐…News from the U.S. and Japan (1987)News from the U.S. and JapanNews from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate? (1986)News from the U. S. and Japan…Stock Returns, Real Activity, Inflation, and Money (1981)The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES (1996)Stock prices and exchange rate dynamics (2005)Domestic Financial Policies Under Fixed and Under Floating Exchange Rates (1962)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)Expectations and Exchange Rate Dynamics (1976)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Anomalies: Foreign Exchange (1990)ARCH modeling in finance (1992)The Adjustment of Stock Prices to New Information (1969)Day of the Week Effects and Asset Returns (1981)Business conditions, monetary policy, and expected security returns (1996)The Adjustment of Stock Prices to New Information (2003)Investor sentiment and the stock market’s reaction to monetary policy (2009)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Measuring Liquidity in Financial Markets (2002)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)Political Cycles and the Macroeconomy (1997)Fluctuations in Uncertainty (2014)Measuring Uncertainty (2015)Impact of economic policy uncertainty on exchange rate volatility of China (2019)Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty (2020)The relationship between oil prices and exchange rates: Revisiting theory and evidence (2020)The Adjustment of Stock Prices to Information About Inflation (1981)Macro variables and international stock return predictability (2004)Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s (1982)Beating the Foreign Exchange Market (1986)What Determines Government Spending Multipliers? (2012)On Jump Processes in the Foreign Exchange and Stock Markets (1988)
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References

  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 1979Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market502 cited
  • 1981Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s500 cited
  • 1980Exchange Rate Economics: Where Do We Stand?452 cited
  • 1985Stock Prices and Economic News420 cited
  • 1984Stock Prices and Economic News380 cited
  • 1983The Money Supply Announcements Puzzle: Review and Interpretation212 cited
  • 1988Economic news, exchange rates and interest rates212 cited
  • 1984Why interest rates react to money announcements178 cited

Cited by

  • 2016Exchange rate expectations and economic policy uncertainty217 cited
  • 2000Public Information Arrival, Exchange Rate Volatility, and Quote Frequency188 cited
  • 1986News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?180 cited
  • 2005Do currency markets absorb news quickly?147 cited
  • 2001‘Once-in-a-generation’ yen volatility in 1998: fundamentals, intervention, and order flow145 cited
  • 1987News from the U.S. and Japan

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115 cited
  • 2006What defines ‘news’ in foreign exchange markets?103 cited
  • 2003How is Macro News Transmitted to Exchange Rates?102 cited
  • 2002Time-varying liquidity in foreign exchange101 cited
  • 1998Monetary Policy Actions, Intervention, and Exchange Rates: A Reexamination of the Empirical Relationships Using Federal Funds Rate Target Data99 cited
  • 1987THE IMPACT OF MONEY ON SHORT‐TERM INTEREST RATES94 cited
  • 1998Economic News and the Yield Curve: Evidence from the U.S. Treasury Market84 cited
  • 2003Macroeconomic News and the Euro/Dollar Exchange Rate82 cited
  • 2022Exchange rate return predictability in times of geopolitical risk73 cited
  • 2003Relative importance of scheduled macroeconomic news for stock market investors67 cited
  • 2005The impact of macroeconomic surprises on spot and forward foreign exchange markets66 cited