Macroeconomic News and the DM/$ Exchange Rate

Autor:	Mark J. Flannery, Aris Protopapadakis
Rok vydání:	2012
Předmět:	Inflation Exchange rate media_common.quotation_subject Keynesian economics Autoregressive conditional heteroskedasticity Economics Monetary economics media_common
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068 1980-1998
DOI:	10.2139/ssrn.2116608
Popis:	Empirical confirmation that the effect of macroeconomic fundamentals on exchange rates is economically important has been scarce. This paper employs a general GARCH specification with asymmetric responses to investigate the effect of 35 U.S. and German macroeconomic news announcements on the daily DM/$ exchange rate over the 1980-1998 period. We conclude that FX rates are strongly connected to real and nominal sector developments in both countries, and that real sector announcements influence the exchange rate more strongly than money or inflation announcements. We find that surprisingly high real growth appreciates the exchange rate and raises yields.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0fd684d743d7bc0db785044d0b807f25 https://doi.org/10.2139/ssrn.2116608 Zobrazit plný text záznamu