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Cited by 1,375

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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Anderson, Torben G, Bollerslev, Tim, Diebold, Francis X, Vega, Clara·2003·American Economic Review
DOI 10.1257/000282803321455151
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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.

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Metadata

Authors
Anderson, T. G., Bollerslev, T., Diebold, F. X., & Vega, C.
Venue
American Economic Review
Publisher
American Economic Association
Published
2003-02-01
Volume
93
Issue
1
Pages
38-62
ISSN
0002-8282 (ISSN-L)
DOI
10.1257/000282803321455151
OpenAlex
W3123647737
Cited by
1,375
References
1
FWCI
86.67
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. https://app.cochat.ai/papers/10.1257/000282803321455151
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Anderson, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. American Economic Review. https://doi.org/10.1257/000282803321455151

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