TY - JOUR
T1 - Macro news effects on exchange rates
T2 - Difference between carry trade target and safe-haven currencies
AU - Wang, Wenhao
AU - Lin, Zhitao
AU - Hu, Bing
PY - 2023/5
Y1 - 2023/5
N2 - 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.
AB - 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.
KW - US macro news
KW - Exchange rate
KW - Safe-haven currency
KW - Carry-trade target currency
KW - TIME PRICE DISCOVERY
KW - ANNOUNCEMENTS
KW - IMPACT
KW - JUMPS
KW - RISK
UR - http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000955209100001
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-85149756525&origin=recordpage
UR - http://www.scopus.com/inward/record.url?scp=85149756525&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2023.103679
DO - 10.1016/j.frl.2023.103679
M3 - RGC 21 - Publication in refereed journal
SN - 1544-6123
VL - 53
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 103679
ER -