This setting lets you change the way you view articles. You can choose to have articles open in a dialog window, a new tab, or directly in the same window.
Open in Dialog
Open in New Tab
Open in same window

American Economic Review: Vol. 93 No. 1 (March 2003)

AER Volume. 93, Issue 1 | leftPrevious ArticleNext Articleright

Expand

Quick Tools:

Print Article Summary Email Link to this Article Export Citation
Sign up for Email Alerts Follow us on Twitter

Explore:

AER - All Issues

AER Forthcoming Articles

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Article Citation

Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Clara Vega. 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange ." The American Economic Review, 93(1): 38-62.

DOI: 10.1257/000282803321455151

Abstract

Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we 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 news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.

Article Full-Text Access

Full-text Article

Authors

Andersen, Torben G.
Bollerslev, Tim
Diebold, Francis X.
Vega, Clara


American Economic Review



AEA Member Login:


Quick Tools:

Email Link to this Issue

Sign up for Email Alerts

Follow us on Twitter

Subscription Information
(Institutional Administrator Access)

Explore:

AER - Forthcoming Articles

AEA Journals

Virtual Field Journals

AEAweb | AEA Journals | Contact Us