The exchange rate effects of macro news after the global Financial Crisis
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 424-443 |
| Number of pages | 20 |
| Journal / Publication | Journal of International Money and Finance |
| Volume | 95 |
| Early online date | 24 Mar 2018 |
| Publication status | E-pub ahead of print - 24 Mar 2018 |
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Abstract
We explore whether the exchange rate effects of macro news are time- and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Crisis. A comprehensive set totaling 40 time-stamped US and Japanese news variables and preceding survey expectations along with 5-min indicative JPY/USD quotes spanning the 1 January 1999 to 31 August 2016 period facilitate our analysis. Our results suggest that while US macro news are now more important than before the Crisis, the influence of Japanese macro news has waned to the point of near-irrelevance. These findings are of particular importance to exchange rate modeling of the New Era.
Research Area(s)
- Foreign exchange rates, Global Financial Crisis, Macro news surprises
Citation Format(s)
The exchange rate effects of macro news after the global Financial Crisis. / Cheung, Yin-Wong; Fatum, Rasmus; Yamamoto, Yohei.
In: Journal of International Money and Finance, Vol. 95, 07.2019, p. 424-443.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review
