Does FOMC news increase global FX trading?

Fischer, Andreas; Ranaldo, Angelo

doi:10.1016/j.jbankfin.2011.03.024

Cited by 24 publications

(14 citation statements)

References 53 publications

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“…Hence, FX market participants appear to respond rapidly to signals arising from U.S. monetary policy, particularly where the signal indicates a deterioration in U.S. macroeconomic and financial conditions. This aligns with the findings ofFischer and Ranaldo (2011), who demonstrate that global FX trading volume increases after Federal Open Market Committee meetings, which is suggestive of increased portfolio rebalancing activity.Figure 6shows that hits with respect to the federal funds rate occur throughout the pre-ZLB period. Spillover highs are associated with funds rate lows during both the Federal Reserve's prolonged monetary accommodation between 2001 and 2003 (related to the U.S. recession following the collapse of the dot-com bubble) and the subsequent monetary easing associated with the GFC.…”

supporting

confidence: 89%

Risk and return spillovers among the G10 currencies

Greenwood‐Nimmo

Nguyen²,

Rafferty

2016

Journal of Financial Markets

132

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We study spillovers among daily returns and innovations in the option-implied risk-neutral volatility and skewness of the G10 currencies. Using an empirical network model, we uncover substantial time variation in the interaction of returns and risk measures, both within and between currencies. We find that aggregate spillover intensity is countercyclical with respect to the federal funds rate and increases in periods of financial stress. Cross-currency spillovers of volatility and especially of skewness increase in times of stress, reflecting greater systematic risk. Similarly, in such times, returns become more sensitive to risk measures and vice versa.

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supporting

confidence: 89%

Risk and return spillovers among the G10 currencies

Greenwood‐Nimmo

Nguyen²,

Rafferty

2016

Journal of Financial Markets

132

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“…This result is also supported by the other literature. According to Fischer and Ranaldo (2011), although Southeast Asian equity was formed later than other markets in the world, the U.S capital is currently highly mobile across this region. Therefore, all the information about the U.S interest rate included in the FOMC announcement will affect their equity market.…”

Section: General Discussion Of the Resultsmentioning

confidence: 99%

Impact of FOMC announcement on stock price index in Southeast Asian countries

Bao

Mateus²

2017

CFRI

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This paper examines the impact of Federal Open Market Committee (FOMC) announcements, which includes information about the targeted Federal fund rate and revision to the future path of monetary policy on Southeast Asian stock market performance. It compares these effects in two periods: the 1997 Asian financial crisis and the subprime mortgage crisis. To do this, a sample of five national equity market indexes is analysed over the period 1997-2013 covering 132 scheduled FOMC meetings. The results first show that all the stock markets examined do respond to information in FOMC announcements. Second, the target Federal fund rate has more impact on Southeast Asian stocks performance than information about the future path of monetary policy does. Third, different Southeast Asian equity markets respond similarly to targeting the Federal fund rate, while the responses to monetary policy differ from each other. Fourth, the response of each country to the FOMC announcement is not statistically different in the two periods of financial crisis.

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“…6 CLS operates the world's largest multi-currency cash settlement system, handling over 50% of global spot, swap and forward FX transac-tion volume. CLS volume data (rather than order flow) have been used in prior research by Fischer and Ranaldo (2011), Hasbrouck and Levich (2018), and Ranaldo and Santucci de Magistris (2019). To the best of our knowledge, this is the first paper to study CLS order flow data.…”

Section: Datamentioning

confidence: 99%