Cai, Fang; Joo, Hyunsoo; Zhang, Zhiwei - Federal Reserve Board (Board of Governors of the … - 2009
This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of...
