How is macro news transmitted to exchange rates?

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....

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Veröffentlicht in:	Journal of financial economics 2008-04, Vol.88 (1), p.26-50
Hauptverfasser:	Evans, Martin D.D., Lyons, Richard K.
Format:	Artikel
Sprache:	eng
Schlagworte:	Announcements Exchange rates Financial economics Foreign exchange rates Heterogeneity Information Media Microstructure News Price variance Prices Studies Volatility
Online-Zugang:	Volltext
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