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Exchange rates and fundamentals: new evidence from real-time data
16 references·16 citing·41 second hopsampled
Exchange rates and fundamentals: new evidence from real-time data (2005)Exchange rates and fundamentals: new evid…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Monetary Policy Rules Based on Real-Time Data (2001)Monetary Policy Rules Based o…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…No news is good news (1992)No news is good newsA Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Is the intrinsic value of a macroeconomic news announcement related to its asset price impact? (2017)Is the intrinsic value of a m…Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability (2017)Forecasting through the Rearv…Time Variation in Asset Price Responses to Macro Announcements (2013)Time Variation in Asset Price…Risk, Uncertainty and Monetary Policy (2011)Risk, Uncertainty and Monetar…The High‐Frequency Response of the EUR‐USD Exchange Rate to ECB Communication (2010)The High‐Frequency Response o…The effects of economic news on commodity prices (2010)The effects of economic news …Euro Area Market Reactions to the Monetary Developments Press Release (2010)Euro Area Market Reactions to…What explains global exchange rate movements during the financial crisis? (2009)What explains global exchange…The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa (2009)The Impact of Monetary and Co…Oral Interventions Versus Actual Interventions in FX Markets – an Event‐Study Approach (2008)Oral Interventions Versus Act…Do Euro exchange rates follow a martingale? Some out-of-sample evidence (2007)Do Euro exchange rates follow…What defines ‘news’ in foreign exchange markets? (2006)What defines ‘news’ in foreig…The Exchange Rate in a Behavioral Finance Framework (2006)The Exchange Rate in a Behavi…A Spatial Modelling Approach to Contagion Among Emerging Economies (2006)A Spatial Modelling Approach …Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …On the long-term effectiveness of exchange rate communication and interventions (2005)On the long-term effectivenes…Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)The federal funds rate and the channels of monetary transmission (1989)Large Bayesian vector auto regressions (2009)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Cross-Border Banking and Global Liquidity (2014)The General Theory of Employment, Interest and Money. (1936)Network externalities, competition, and compatibility (1985)Standardization, Compatibility, and Innovation (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Investor Psychology and Asset Pricing (2001)Using Online Conversations to Study Word-of-Mouth Communication (2004)Discretion versus policy rules in practice (1993)Inflation forecast targeting: Implementing and monitoring inflation targets (1997)A real-time data set for macroeconomists (2001)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)ARCH modeling in finance (1992)High-Frequency Trading and Price Discovery (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Convergence Across States and Regions (1991)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)
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References

  • 1992A Simple Model of Herd Behavior6,511 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1992No news is good news1,929 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2001Monetary Policy Rules Based on Real-Time Data1,357 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

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799 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • Cited by

    • 2009What explains global exchange rate movements during the financial crisis?224 cited
    • 2006The Exchange Rate in a Behavioral Finance Framework168 cited
    • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission139 cited
    • 2010The High‐Frequency Response of the EUR‐USD Exchange Rate to ECB Communication113 cited
    • 2007Do Euro exchange rates follow a martingale? Some out-of-sample evidence109 cited
    • 2010The effects of economic news on commodity prices109 cited
    • 2006A Spatial Modelling Approach to Contagion Among Emerging Economies107 cited
    • 2006What defines ‘news’ in foreign exchange markets?103 cited
    • 2008Oral Interventions Versus Actual Interventions in FX Markets – an Event‐Study Approach91 cited
    • 2011Risk, Uncertainty and Monetary Policy91 cited
    • 2017Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?88 cited
    • 2017Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability87 cited
    • 2005On the long-term effectiveness of exchange rate communication and interventions85 cited
    • 2009The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa68 cited
    • 2013Time Variation in Asset Price Responses to Macro Announcements67 cited
    • 2010Euro Area Market Reactions to the Monetary Developments Press Release59 cited