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The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements
16 references·16 citing·48 second hopsampled
The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements (2003)The High-Frequency Response of Exchange R…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…The Cost Channel of Monetary Transmission (2000)The Cost Channel of Monetary …Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market (2000)Intraday periodicity, long me…The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)The Effects of Macroeconomic …Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility (1997)Fluctuating Confidence in Sto…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …What Moves Stock Prices? (1988)What Moves Stock Prices?Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Exchange Rate Economics: Where Do We Stand? (1980)Exchange Rate Economics: Wher…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Risk Premia at the ZLB: A Macroeconomic Interpretation (2020)Risk Premia at the ZLB: A Mac…Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes (2015)Unconventional monetary polic…The Evolution of Federal Reserve Policy and the Impact of Monetary Policy Surprises on Asset Prices (2014)The Evolution of Federal Rese…International Channels of the Fed’s Unconventional Monetary Policy (2013)International Channels of the…Financial Globalization and Monetary Transmission (2013)Financial Globalization and M…Exchange Rates and Interest Parity (2013)Exchange Rates and Interest P…Roads to Prosperity or Bridges to Nowhere? Theory and Evidence on the Impact of Public Infrastructure Investment (2012)Roads to Prosperity or Bridge…The Real Exchange Rate, Real Interest Rates, and the Risk Premium (2011)The Real Exchange Rate, Real …Globalization, Macroeconomic Performance, and Monetary Policy (2008)Globalization, Macroeconomic …The influence of actual and unrequited interventions (2007)The influence of actual and u…Realized Stock-Bond Correlation: Macroeconomic Announcement Effects (2007)Realized Stock-Bond Correlati…Is Bad News About Inflation Good News for the Exchange Rate? (2007)Is Bad News About Inflation G…Expectations and Exchange Rate Policy (2007)Expectations and Exchange Rat…Expectations and Exchange Rate Policy (2006)Expectations and Exchange Rat…Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Establishing Credibility: Evolving Perceptions of the European Central Bank (2005)Establishing Credibility: Evo…Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? (1989)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? 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References

  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,205 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 1980Exchange Rate Economics: Where Do We Stand?452 cited
  • 2000The Cost Channel of Monetary Transmission394 cited
  • 1998The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior302 cited
  • 2000Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

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247 cited
  • 1997Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility244 cited
  • Cited by

    • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission85 cited
    • 2007Realized Stock-Bond Correlation: Macroeconomic Announcement Effects83 cited
    • 2013Exchange Rates and Interest Parity53 cited
    • 2007Is Bad News About Inflation Good News for the Exchange Rate?52 cited
    • 2020Risk Premia at the ZLB: A Macroeconomic Interpretation48 cited
    • 2007The influence of actual and unrequited interventions47 cited
    • 2011The Real Exchange Rate, Real Interest Rates, and the Risk Premium44 cited
    • 2015Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes43 cited
    • 2013International Channels of the Fed’s Unconventional Monetary Policy41 cited
    • 2005Establishing Credibility: Evolving Perceptions of the European Central Bank37 cited
    • 2014The Evolution of Federal Reserve Policy and the Impact of Monetary Policy Surprises on Asset Prices35 cited
    • 2007Expectations and Exchange Rate Policy27 cited
    • 2013Financial Globalization and Monetary Transmission25 cited
    • 2008Globalization, Macroeconomic Performance, and Monetary Policy24 cited
    • 2012Roads to Prosperity or Bridges to Nowhere? Theory and Evidence on the Impact of Public Infrastructure Investment20 cited
    • 2006Expectations and Exchange Rate Policy19 cited