Author: Hali J. Edison
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Get Book Here
Book Description
This paper examines the response of exchange rates and interest rates--U.S. and foreign--to economic news. The news is associated with the surprise component of the monthly release of six U.S. macroeconomic variables. The results suggest that dollar exchange rates systematically react to news about real economic activity--a surprise of 100,000 on non-farm payroll employment leads to a 0.2 percent appreciation of the exchange rate. In general, exchange rates do not react systematically to news on inflation. By contrast, U.S. interest rates respond to both types of news, although the response continues to be extremely small, on the order of 1 to 2 basis points. Finally, Japanese interest rates systematically react, but to a very minor extent, to news about U.S. real economic activity, while German rates, in general, do not.
Author: Christof Kreuter
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 36
Get Book Here
Book Description
Author: Hali J. Edison
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 44
Get Book Here
Book Description
Author: Hali J. Edison
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
Author: Massimo Tivegna
Publisher: Routledge
ISBN: 1351152424
Category : Business & Economics
Languages : en
Pages : 289
Get Book Here
Book Description
'News and Exchange Rate Dynamics' proposes an innovative taxonomy of news affecting exchange rates. It establishes a metrics for the impact on exchange rates movements. In doing so it provides the first results of an ongoing research activity on the economic, financial and non-financial determinants of infra daily fluctuations of exchange rates, whose ultimate goal is to explain the formation of market sentiment on one particular currency and the way it changes over time in response to the accumulation of new information. The authors provide a detailed description of the selection criteria of the news and how it impacts exchange rates.
Author: Andrew Clare
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Reactions of financial prices to news contain information about market beliefs and expectations. This article looks at reactions of a selection of UK interest rate, equity and exchange rate contracts to macroeconomic data releases and interest rate changes before and after the Bank of England was granted operational independence in May 1997. We find some differences in the nature of the reactions in the two periods, and attempt to draw out the implications for market perceptions of monetary policy.
Author:
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
Get Book Here
Book Description
Author: Irene Aldridge
Publisher: John Wiley and Sons
ISBN: 0470579773
Category : Business & Economics
Languages : en
Pages : 258
Get Book Here
Book Description
A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail. Contains the tools and techniques needed for building a high-frequency trading system Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation Written by well-known industry professional Irene Aldridge Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.
Author: Mr.Jeronimo Zettelmeyer
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451856170
Category : Business & Economics
Languages : en
Pages : 45
Get Book Here
Book Description
This paper studies the impact effect of monetary policy shocks—identified by the reaction of three month market interest rates to policy announcements—on the exchange rate in Australia, Canada, and New Zealand during the 1990s. The main results are that (1) on average, a 100 basis point contractionary shock will appreciate the exchange rate by 2-3 percent on impact; (ii) seemingly “perverse” reactions of the exchange rate to monetary policy are mainly attributable to reverse causality; (iii) in a few instances, there were true “perverse” reactions of exchange rates to policy— generally, appreciations following expansionary shocks.
Author: Imad A Moosa
Publisher: World Scientific
ISBN: 9814468509
Category : Business & Economics
Languages : en
Pages : 512
Get Book Here
Book Description
Exchange rate economics is an important field of investigation for academics, professionals and policy-makers. This book provides a comprehensive survey of the theory of and empirical evidence on the determination and effects of exchange rates. The exposition utilizes both diagrammatic and mathematical representations of the underlying models. The book is a comprehensive reference for those engaged in this field of research.
