Coleman, Andrew; Karagedikli, Özer - In: The North American Journal of Economics and Finance 23 (2012) 1, pp. 1-19
This paper examines the relative size of the effects of macroeconomic news on the spot exchange rate, and interest rate differentials (2- and 5-year swap rate differentials), and the synthetic forward exchange rate schedule, for the high-frequency New Zealand data. We find that the spot exchange...
