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The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa

Égert, Balázs - 2009

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...

Persistent link: https://www.econbiz.de/10010273784

The reaction of exchange rates and interest rates of news releases

Kreuter, Christof; Gottschling, Andreas; Cornelius, Peter - 1998

payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the … reaction of inflation indexed bond yields to news announcements is investigated. …

Persistent link: https://www.econbiz.de/10010301765

Exchange rate market expectations and Central Bank policy: The case of the Mexican peso-US dollar from 2005-2009

Abarca, Gustavo; Benavides, Guillermo; Rangel, José Gonzalo - 2010

monetary policy announcements in Mexico and the US. Once the surprise component of the announcements is considered, our results …

Persistent link: https://www.econbiz.de/10010322542

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability …Although the effects of economic news announcements on asset prices are well established, theserelationships are …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements …

Persistent link: https://www.econbiz.de/10010333621

Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?

Fatum, Rasmus; Scholnick, Barry - 2005

This paper shows that exchange rates respond to only the surprise component of an actual US monetary policy change and that failure to disentangle the surprise component from the actual monetary policy change can lead to an underestimation of the impact of monetary policy, or even to a false...

Persistent link: https://www.econbiz.de/10010320908

Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

de Jong, Frank; Mahieu, Ronald; Schotman, Peter; van … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10010324605

What lessons have been learnt since the East Asian Crisis in 1997/98? CIBS, capital flows and exchange rates

Pircher, Marion - 2008

This paper discusses the movement of capital flows to and from the exchange rate regimes and monetary policies of China, India, Brazil, and South Africa (CIBS). Furthermore, we compare the level of financial stability, and the composition and duration of capital flows of the countries on a...

Persistent link: https://www.econbiz.de/10010273459

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009

We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on … mean or the volatility - depends on both news announcements and order flow. We conclude that news on the EUR/HUF market are … transmitted directly via immediate reactions to news announcements as well as indirectly via order flow. We decompose the news …

Persistent link: https://www.econbiz.de/10010322449

Exchange rates and fundamentals: new evidence from real-time data

Ehrmann, Michael; Fratzscher, Marcel - 2004

This paper analyses the link between economic fundamentals and exchange rates by investigating the importance of real-time data. We find that such economic news in the United States, Germany and the euro area have indeed been a driving force behind daily US dollar – euro/DEM exchange rate...

Persistent link: https://www.econbiz.de/10011604411

The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?

Ehrmann, Michael; Osbat, Chiara; Stráský, Jan; … - 2013

This paper studies the determinants of the euro exchange rate during the European sovereign debt crisis, allowing a role for macroeconomic fundamentals, policy actions and the public debate by policy makers. It finds that the euro exchange rate mainly danced to its own tune, with a particularly...

Persistent link: https://www.econbiz.de/10011605577

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