The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
How is macro news transmitted to exchange rates?
Open accessAbstract
Macro news can affect currency prices directly and indirectly via order flow. Past research shows that the direct effects of scheduled macro news account for less than 10% of daily price variance. This paper shows that the arrival of macro news can account for more than 30% of daily price variance. Two features of our analysis account for this finding: (1) We consider the broad spectrum of macro news items that market participants observe, not just scheduled announcements. (2) We allow the arrival of news to affect prices indirectly via its impact on the volatility of order flow. Our analysis shows that order flow variations contribute more to currency price dynamics following the arrival of public macro news than at other times. This is not consistent with news effects being common knowledge that is impounded in price directly. Roughly two-thirds of the total effect of macro news on the DM/$ exchange rate is transmitted via order flow.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Continuous Auctions and Insider Trading
Kyle, A. S. (1985) · Econometrica · doi:10.2307/1913210 · Cited by 9,580
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
Glosten, L. R., & Milgrom, P. R. (1985) · Journal of Financial Economics · doi:10.1016/0304-405x(85)90044-3 · Cited by 6,115
Empirical exchange rate models of the seventies
Meese, R. A., & Rogoff, K. (1983) · Journal of International Economics · doi:10.1016/0022-1996(83)90017-x · Cited by 4,107
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Measuring the Information Content of Stock Trades
HASBROUCK, J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb03749.x · Cited by 1,862
French, K. R., & Roll, R. (1986) · Journal of Financial Economics · doi:10.1016/0304-405x(86)90004-8 · Cited by 1,811
Cited by
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Anderson, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003) · American Economic Review · doi:10.1257/000282803321455151 · Cited by 1,375
Stock Market Liquidity and the Business Cycle
NÆS, R., SKJELTORP, J. A., & ØDEGAARD, B. A. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01628.x · Cited by 417
Metadata
- Authors
- Evans, M. D. D., & Lyons, R. K.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2008-04
- Volume
- 88
- Issue
- 1
- Pages
- 26-50
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2002115391
- Cited by
- 366
- References
- 38
- FWCI
- 48.41
- Type
- journal article
- Language
- en
- Open access
- bronze
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: How is macro news transmitted to exchange rates? https://app.cochat.ai/papers/10.1016/j.jfineco.2007.06.001
- The paper
- Evans, M. D. D., & Lyons, R. K. (2008). How is macro news transmitted to exchange rates? Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2007.06.001
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
