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 journalNot applicablepeer-review

1 Scopus Citations
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Detail(s)

Original languageEnglish
Pages (from-to)424-443
Number of pages20
Journal / PublicationJournal of International Money and Finance
Volume95
Early online date24 Mar 2018
Publication statusPublished - Jul 2019

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