1997
DOI: 10.1002/(sici)1099-1158(199704)2:2<87::aid-ijfe39>3.0.co;2-8
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The Reaction of Exchange Rates and Interest Rates to News Releases
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Cited by 62 publications
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“…On the other hand, the number of deals could be non-zero among investors with heterogeneous subjective expectations, and the volatility will rise. 11 Among daily frequency papers, Edison (1997) found one out of six US variables to be significant; and Ehrmann and Fratzscher (2004) found significance in eight out of 13 US variables and one out of 12 variables. Galati and Ho (2003) examined the EUR/USD exchange rate in reaction to US and European (mostly German) news.…”
Section: Theoretical Predictionssupporting
confidence: 86%
“…On the other hand, the number of deals could be non-zero among investors with heterogeneous subjective expectations, and the volatility will rise. 11 Among daily frequency papers, Edison (1997) found one out of six US variables to be significant; and Ehrmann and Fratzscher (2004) found significance in eight out of 13 US variables and one out of 12 variables. Galati and Ho (2003) examined the EUR/USD exchange rate in reaction to US and European (mostly German) news.…”
Section: Theoretical Predictionssupporting
confidence: 86%
“…15 These results are unchanged if we include in X US and X EU only those macroeconomic announcements that are significant in (3). 16 An alternative way to test for asymmetry in good versus bad news is to interact each individual macroeconomic announcement in (3) with a good news dummy (taking value one if the news is positive, zero otherwise) and with a bad news dummy (taking value one if the news is negative, zero otherwise), as in Edison (1997). In doing so, we allow the response to each piece of good news to be different from that to bad news.…”
Section: Aggregate News: Asymmetries Between Good and Bad Newsmentioning
confidence: 99%
“…Moreover Omrane and Savaser (2016) have pointed to the large impact of the chronology of publications during a month demonstrating that in one variables category it is data published first that is most significant. Harris and Żabka's (1995) and Edison's (1997) research have proved that data on the change of employment in the USA is of expressly positive and statistically significant impact on the dollar exchange rate. Whereas Simpson et al (2005) did a study in which the influence of 23 macroeconomic announcements on exchange rates were analysed, which proved that the exchange rates reacted to the announcements on inflation, customer demand and interest rates.…”
mentioning
confidence: 99%
