Almeida, Alvaro; Goodhart, Charles; Payne, Richard - In: Journal of Financial and Quantitative Analysis 33 (1998) 03, pp. 383-408
This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. By using data sampled at a five-minute frequency, we are able to identify significant impacts of most announcements on the exchange rate...