Macro news effects on exchange rates : Difference between carry trade target and safe-haven currencies

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Original languageEnglish
Article number103679
Journal / PublicationFinance Research Letters
Volume53
Online published3 Feb 2023
Publication statusPublished - May 2023

Abstract

We compare the effects of the US macro news on the exchange rates of carry trade target currencies and safe-haven currencies in the post-GFC period. Relying on the data of 5-min changes of exchange rates, we find significant responses of currencies to the surprises of the US macro news. The significance of responses was similar between the two types of currencies during the normal periods, but were weaker for target currencies in the turmoil periods. Furthermore, the turmoil periods witnessed more diverged effects of macro news between carry trade target currencies and safe-haven currencies. © 2023 Elsevier Inc. All rights reserved.

Research Area(s)

  • US macro news, Exchange rate, Safe-haven currency, Carry-trade target currency, TIME PRICE DISCOVERY, ANNOUNCEMENTS, IMPACT, JUMPS, RISK