The high-frequency response of exchange rates and interest rates to macroeconomic announcements

• 成果类型: Article
• 署名作者: Faust, Jon; Rogers, John H.; Wang, Shing-Yi B.; Wright, Jonathan H.
• 署名单位: Federal Reserve System - USA; Yale University; Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.05.015
• 发表日期: 2007
• 页码: 1051-1068
• 关键词: data releases; Exchange rates; uncovered interest parity; overshooting

摘要

The joint movements of exchange rates and U.S. and foreign term structures over short-time windows around macro announcements are studied using a 14-year span of high-frequency data. In order to evaluate whether the joint effects can be reconciled with conventional theory, the implications of these joint movements for changes in expected future exchange rates and changes in foreign exchange risk premia are deduced. For several real macro announcements, a stronger than expected release appreciates the dollar today, and must either (i) lower the risk premium for holding foreign currency rather than dollars, or (ii) imply net expected dollar depreciation over the ensuing decade. (C) 2006 Elsevier B.V. All rights reserved.