[go: up one dir, main page]
create a website
What Defines News in Foreign Exchange Markets. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
In: Working Papers.
RePEc:mie:wpaper:547.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 45

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2017-05-14.

    Full description at Econpapers || Download paper

  2. Impact of news announcements on the foreign exchange implied volatility. (2012). Marshall, Andrew ; Musayev, Taleh ; Tang, Leilei ; Pinto, Helena .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:4:p:719-737.

    Full description at Econpapers || Download paper

  3. The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis. (2008). Taylor, Mark ; Reitz, Stefan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:52:y:2008:i:1:p:55-76.

    Full description at Econpapers || Download paper

  4. The interaction between technical currency trading and exchange rate fluctuations. (2006). Schulmeister, Stephan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:3:y:2006:i:3:p:212-233.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Almeida, A., Goodhart, C., Payne, R., 1998. The effects of macroeconomic news on high frequency exchange rate behavior. Journal of Financial and Quantitative Analysis 33 (3), 383-408.

  2. Andersen, T., and T. Bollerslev, 1998. Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, Journal of Finance, 53: 2 19-265.
    Paper not yet in RePEc: Add citation now

  3. Andersen, T., Bollerslev, T., 1997a. Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance 4, 115-15 8.

  4. Andersen, T., Bollerslev, T., 1997b. Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns. Journal of Finance 52 (3), 975-1005.
    Paper not yet in RePEc: Add citation now

  5. Andersen, T., T. Bollerslev, F. Diebold, C. Vega, 2003. Micro effects of macro announcements: Real-time price discovery in foreign exchange, American Economic Review, 93: 38-62.

  6. Bacchetta, P., van Wincoop, E., 2003. Can information heterogeneity explain the exchange rate determination puzzle? NBER Working Paper 9498, February.

  7. Ben Omrane, W., Bauwens, L., Giot, P.,forthcoming. News announcements, market activity and volatility in the euro/dollar foreign exchange market. Journal of International Money and Finance. Bollerslev, T., Domowitz, I., 1993. Trading patterns and prices in the interbank foreign exchange market. Journal of Finance 48, 1421-1443.

  8. Breedon, F., Vitale, P., 2005. An empirical study of liquidity and information effects of order flow on exchange rates, mimeo, Imperial College London.

  9. Chaboud, A., Chernenko, S., Howorka, E., Iyer, R., Liu, D., Wright, J., 2004. The highfrequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market, Board of Governors of the Federal Reserve System, IFDP No. 823, November.

  10. Cheung, Y., Chinn, M., and A. Pascual,forthcoming. Empirical exchange rate models of the nineties: are any fit to survive? Journal of International Money and Finance. 21 Danielsson, J., Payne, R., and J. Luo, 2002. Exchange rate determination and inter-market order flow effects, FMG mimeo, London School of Economics.

  11. DeGennaro, R., and R. Shrieves, 1997. Public information releases, private information arrival, and volatility in the foreign exchange market, Journal of Empirical Finance, 4: 295-3 15.

  12. Dominguez, K., 1998. Central bank intervention and exchange rate volatility. Journal of International Money and Finance 17, 16 1-190.

  13. Dominguez, K., 2003. The market microstructure of central bank intervention. Journal of International Economics 59, 25-45.

  14. Ehrmann, M., and M. Fratzscher, 2005. Exchange rates and fundamentals: new evidence from real-time data, Journal of International Money and Finance, 24, 317-341.

  15. Engel, C., and K. West,forthcoming. Exchange rates and fundamentals, Journal of Political Economy. Evans, M., and R. Lyons, 2002. Order flow and exchange rate dynamics, Journal of Political Economy, 110: 170-180.

  16. Evans, M., and R. Lyons, 2003. How is macro news transmitted to exchange rates?, mimeo.

  17. Evans, M., and R. Lyons, 2004. Exchange rate fundamentals and order flow, mimeo, Georgetown University.

  18. Evans, M., and R. Lyons, 2005a. Do currency markets absorb news quickly?, Journal of International Money and Finance, 24, 197-2 17.

  19. Evans, M., and R. Lyons, 2005b. Meese-Rogoff Redux: Micro-based exchange rate forecasting, NBER working paper 11042.

  20. Fair, R., 2003. Shock effects on stocks, bonds and exchange rates, Journal of International Money and Finance, 22, 307-34 1.

  21. Fatum, R. and M. Hutchison, 2003. Is sterilized foreign exchange intervention effective after all? An event study approach, Economic Journal, 113, 487, 390-4 11.

  22. Faust, J., Rogers, J., Wang, S., Wright, J., 2003. The high-frequency response of exchange rates and interest rates to macroeconomics announcements, Board of Governors of the Federal Reserve System, IFDP No. 784, October.

  23. Flood, R., and A. Rose, 1995. Fixing exchange rates: A virtual quest for fundamentals, Journal of Monetary Economics 36, 3-37.

  24. Fratzscher, M., 2004. Communication and exchange rate policy. ECB working paper 363, May.

  25. Hakkio, C., and D.K. Pearce, 1985. The reaction of exchange rates to economic news. Economic Inquiry, 23, 4, 621-636.

  26. Inoue, A., and Kilian, K.,forthcoming. On the Selection of Forecasting Models. Journal of Econometrics. Ito, T., and V. Roley, 1987. News from the US and Japan: which moves the yenldollar exchange rate?, Journal of Monetary Economics, 19, 2, 255-277.

  27. Jansen, D-J., and J. De Haan, 2005. Talking heads: the effects of ECB statements on the euro-dollar exchange rate, Journal of international Money and Finance, 24, 343-361.

  28. Kilian, L. and M. Taylor, 2003. Why is it so difficult to beat the random walk forecast of exchange rates? Journal of International Economics, 60 (1), 85-107.

  29. Kilian, L., 1999. Exchange rates and monetary fundamentals: what do we learn from long horizon regressions?, Journal of Applied Econometrics, 14, 491-5 10.

  30. Kondor, P., 2004. The more we know, the less we agree, mimeo FMG, London School of Economics.
    Paper not yet in RePEc: Add citation now

  31. Kyle, A. 1985. Continuous auctions and insider trading, Econometrica, 53:13 15-35.

  32. Laakkonen, H., 2004. The impact of macroeconomic news on exchange rate volatility, Bank of Finland discussion paper 24.

  33. Love, R., 2004. First and second moment effects of macro news in high frequency foreign exchange data, mimeo FMG, London School of Economics.
    Paper not yet in RePEc: Add citation now

  34. Love, R., and R. Payne, 2003. Macroeconomic news, order flows, and exchange rates, Discussion Paper 475, FMG, London School of Economics.

  35. Lyons, R., 2001. The Microstructure Approach to Exchange Rates, MIT Press.
    Paper not yet in RePEc: Add citation now

  36. Mark, N., 1995. Exchange rates and fundamentals: Evidence on long-horizon predictability, American Economic Review, 85: 201-218.

  37. Meese, R., and K. Rogoff, 1983a. Empirical exchange rate models of the seventies, Journal of International Economics, 14: 3-24.

  38. Meese, R., and K. Rogoff, 1983b, The out-of-sample failure of empirical exchange rate models, in J. Frenkel (ed.), Exchange Rate and International Macroeconomics, University of Chicago Press: Chicago.

  39. Melvin, M., and X. Yin, 2000. Public information arrival, exchange rate volatility, and quote frequency, Economic Journal, 110: 644-66 1.

  40. Newey, W., and K. West, 1987. A simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708.

  41. Osler, C., 2003. Currency orders and exchange-rate dynamics: An explanation for the predictive success of technical analysis, Journal of Finance, 58: 1791-1820.

  42. Panthaki, F., 2004. Exchange rate volatility and central bank interventions, mimeo FMG, London School of Economics.
    Paper not yet in RePEc: Add citation now

  43. Rigabon, R. and B. Sack, 2002. The impact of monetary policy on asset prices, NBER Working paper 8794.

  44. Rime, D., 2003. New electronic trading systems in foreign exchange markets, typescript, Norges Bank, January.
    Paper not yet in RePEc: Add citation now

  45. Sager, M., and M.P. Taylor, 2004. The impact of European central bank governing council announcements on the foreign exchange market: a microstructural analysis, Journal of International Money and Finance, 23, 1043-105 1.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Unconventional monetary policy had large international effects. (2015). Neely, Christopher.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:52:y:2015:i:c:p:101-111.

    Full description at Econpapers || Download paper

  2. Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test. (2011). Hess, Dieter ; Orbe, Sebastian .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1113.

    Full description at Econpapers || Download paper

  3. Does FOMC news increase global FX trading?. (2011). Ranaldo, Angelo ; Fischer, Andreas.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2965-2973.

    Full description at Econpapers || Download paper

  4. The large scale asset purchases had large international effects. (2010). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-018.

    Full description at Econpapers || Download paper

  5. Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates. (2010). Wu, Thomas ; Hutchison, Michael ; Fatum, Rasmus.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:49.

    Full description at Econpapers || Download paper

  6. Does foreign exchange reserve decumulation lead to currency appreciation?. (2010). Fatum, Rasmus ; Dominguez, Kathryn ; Kathryn M. E. Dominguez, ; VACEK, PAVEL .
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:48.

    Full description at Econpapers || Download paper

  7. The electronic trading systems and bid-ask spreads in the foreign exchange market. (2010). Ding, Liang ; Hiltrop, Jonas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:4:p:323-345.

    Full description at Econpapers || Download paper

  8. Monthly pass-through ratios. (2010). Fischer, Andreas ; Amstad, Marlene.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:7:p:1202-1213.

    Full description at Econpapers || Download paper

  9. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market. (2009). Pinter, Klara ; Frömmel, Michael ; Norbert Kiss M., ; Frommel, Michael.
    In: MNB Working Papers.
    RePEc:mnb:wpaper:2009/3.

    Full description at Econpapers || Download paper

  10. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

    Full description at Econpapers || Download paper

  11. Bank of England Interest Rate Announcements and the Foreign Exchange Market. (2009). Taylor, Mark ; Saborowski, Christian ; Sager, Michael ; Melvin, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2613.

    Full description at Econpapers || Download paper

  12. Does FOMC News Increase Global FX Trading?. (2008). Ranaldo, Angelo ; Fischer, Andreas.
    In: Working Papers.
    RePEc:snb:snbwpa:2008-09.

    Full description at Econpapers || Download paper

  13. How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data. (2008). Tsutsui, Yoshiro ; Hirayama, Kenjiro.
    In: Discussion Papers in Economics and Business.
    RePEc:osk:wpaper:0832.

    Full description at Econpapers || Download paper

  14. Macroeconomic News, Business Cycles and Australian Financial Markets. (2008). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:15:y:2008:i:3:p:185-207.

    Full description at Econpapers || Download paper

  15. Price Adjustment to News with Uncertain Precision. (2008). Hautsch, Nikolaus ; Muller, Christoph ; Hess, Dieter .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-025.

    Full description at Econpapers || Download paper

  16. Forecasting foreign exchange rates using idiosyncratic volatility. (2008). Guo, Hui ; Savickas, Robert .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:7:p:1322-1332.

    Full description at Econpapers || Download paper

  17. Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates. (2008). Han, YoungWook .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:20:y:2008:i:4:p:585-600.

    Full description at Econpapers || Download paper

  18. Does FOMC News Increase Global FX Trading?. (2008). Ranaldo, Angelo ; Fischer, Andreas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6753.

    Full description at Econpapers || Download paper

  19. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12953.

    Full description at Econpapers || Download paper

  20. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
    In: Working Papers.
    RePEc:mie:wpaper:561.

    Full description at Econpapers || Download paper

  21. Deregulation, news releases, and price discovery. (2007). Moore, William ; Christie-David, Rohan ; Chen, Manfen .
    In: Journal of Regulatory Economics.
    RePEc:kap:regeco:v:31:y:2007:i:3:p:289-312.

    Full description at Econpapers || Download paper

  22. The Asymmetric Response of Equity REIT Returns to Inflation. (2007). Ramchander, Sanjay ; Simpson, Marc ; Webb, James.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:34:y:2007:i:4:p:513-529.

    Full description at Econpapers || Download paper

  23. The Ties that Bind; Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields. (2007). Bayoumi, Tamim ; Swiston, Andrew J.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2007/128.

    Full description at Econpapers || Download paper

  24. The influence of actual and unrequited interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:2:p:171-200.

    Full description at Econpapers || Download paper

  25. The Impact of Macroeconomic News on Exchange Rate Volatility. (2007). Laakkonen, Helinä.
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:20:y:2007:i:1:p:23-40.

    Full description at Econpapers || Download paper

  26. Macroeconomic news and exchange rates. (2007). Pearce, Douglas ; Solakoglu, Nihat M..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:17:y:2007:i:4:p:307-325.

    Full description at Econpapers || Download paper

  27. International capital asset pricing: Evidence from options. (2007). Wu, Liuren ; Mo, Henry.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:465-498.

    Full description at Econpapers || Download paper

  28. Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets. (2006). Kräussl, Roman ; Canto, Bea ; Kraussl, Roman.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200625.

    Full description at Econpapers || Download paper

  29. Idiosyncratic volatility, economic fundamentals, and foreign exchange rates. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-025.

    Full description at Econpapers || Download paper

  30. The tick/volatility ratio as a determinant of the compass rose pattern. (2005). Lee, Chun ; Gleason, Kimberly ; Mathur, Ike.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:2:p:93-109.

    Full description at Econpapers || Download paper

  31. Shock Identification of Macroeconomic Forecasts based on Daily Panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: Working Papers.
    RePEc:szg:worpap:0502.

    Full description at Econpapers || Download paper

  32. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11769.

    Full description at Econpapers || Download paper

  33. What Defines News in Foreign Exchange Markets. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
    In: Working Papers.
    RePEc:mie:wpaper:547.

    Full description at Econpapers || Download paper

  34. Shock identification of macroeconomic forecasts based on daily panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: Staff Reports.
    RePEc:fip:fednsr:206.

    Full description at Econpapers || Download paper

  35. Shock Identification of Macroeconomic Forecasts Based on Daily Panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5008.

    Full description at Econpapers || Download paper

  36. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. (2004). Wright, Jonathan ; Chaboud, Alain P. ; Chernenko, Sergey ; Raj S. Krishnasami Iyer, ; Howorka, Edward ; Liu, David .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:823.

    Full description at Econpapers || Download paper

  37. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004365.

    Full description at Econpapers || Download paper

  38. Determinants of the relative price impact of unanticipated information in US macroeconomic releases. (2003). Hess, Dieter .
    In: Frankfurt School - Working Paper Series.
    RePEc:zbw:fsfmwp:46.

    Full description at Econpapers || Download paper

  39. News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media. (2003). Schuster, Thomas.
    In: Finance.
    RePEc:wpa:wuwpfi:0305009.

    Full description at Econpapers || Download paper

  40. The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System. (2003). Renò, Roberto ; Impenna, Claudio ; Barucci, Emilio.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:24.

    Full description at Econpapers || Download paper

  41. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

    Full description at Econpapers || Download paper

  42. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: Working Papers.
    RePEc:mie:wpaper:506.

    Full description at Econpapers || Download paper

  43. The high-frequency response of exchange rates and interest rates to macroeconomic announcements. (2003). Wright, Jonathan ; Wang, Shing-Yi ; Rogers, John ; Faust, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:784.

    Full description at Econpapers || Download paper

  44. The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system. (2003). Renò, Roberto ; Impenna, Claudio ; Reno, Roberto ; Barucci, Emilio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_475_03.

    Full description at Econpapers || Download paper

  45. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

  46. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

    Full description at Econpapers || Download paper

  47. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Anderson, Torben G..
    In: Working Papers.
    RePEc:ecl:upafin:02-1.

    Full description at Econpapers || Download paper

  48. Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases. (2001). Podpiera, Richard.
    In: Finance.
    RePEc:wpa:wuwpfi:0012005.

    Full description at Econpapers || Download paper

  49. Do macroeconomics news releases affect gold and silver prices?. (2000). Chaudhry, Mukesh ; Koch, Timothy W. ; Christie-David, Rohan .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:52:y:2000:i:5:p:405-421.

    Full description at Econpapers || Download paper

  50. Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases. (2000). Podpiera, Richard.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp156.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-21 18:47:15 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.