Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Why is this work in the frame?
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Machine scores (provisional)
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
- Teacher spread
- 0.215 · how far apart the two teachers sit on this one work
- Validation status
score_only:v0-immature-baseline· verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it
Abstract
Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
The record
- Venue
- American Economic Review
- Topic
- Monetary Policy and Economic Impact
- Field
- Economics, Econometrics and Finance
- Canadian institutions
- Kellogg's (Canada)
- Funders
- —
- Keywords
- EconomicsSign (mathematics)Exchange ratePrice discoveryLiberian dollarMacroLinkage (software)EconometricsForeign exchangeForeign exchange marketSet (abstract data type)Monetary economicsFinancial economicsComputer scienceFutures contractFinance
- Has abstract in OpenAlex
- yes