Macro News Effects on Exchange Rates : Difference between Carry Trade Target and Safe-haven Currencies

We compare the effects of the US macro news on the exchange rates of carry trade target currencies and safe-haven currencies in the post-GFC period. Relying on the data of 5-min changes of exchange rates, we find significant responses of currencies to the surprises of the US macro news. The significance of responses was similar between the two types of currencies during the normal periods, but were weaker for target currencies in the turmoil periods. Furthermore, the turmoil periods witnessed more diverged effects of macro news between carry trade target currencies and safe-haven currencies