SOURCES OF METEOR-SHOWERS AND HEAT WAVES IN THE FOREIGN-EXCHANGE MARKET

• 成果类型: Article
• 署名作者: HOGAN, KC; MELVIN, MT
• 署名单位: Arizona State University; Arizona State University-Tempe; McGill University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(94)90047-7
• 发表日期: 1994
• 页码: 239-247
• 关键词: exchange rate volatility; METEOR SHOWERS; Heterogeneous expectations; news; Exchange rates

摘要

We examine the role that news and heterogeneous expectations play in the persistence of exchange rate volatility, or so-called 'meteor shower' effects. Our empirical focus is on the U.S. trade balance news, which is shown to have a significant and persisting effect on the exchange rate and its conditional variance. Furthermore, the impact of U.S. trade balance 'news' is not isolated to the U.S. foreign exchange market. The degree to which U.S. trade balance 'news' affects other geographical market locations is functionally related to heterogeneous priors.