How is macro news transmitted to exchange rates?

• 成果类型: Article; Proceedings Paper
• 署名作者: Evans, Martin D. D.; Lyons, Richard K.
• 署名单位: Georgetown University; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.06.001
• 发表日期: 2008
• 页码: 26-50
• 关键词: information; microstructure; announcements; Heterogeneity

摘要

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. Two features of our analysis account for this finding: (1) We consider the broad spectrum of macro news items that market participants observe, not just scheduled announcements. (2) We allow the arrival of news to affect prices indirectly via its impact on the volatility of order flow. Our analysis shows that order flow variations contribute more to currency price dynamics following the arrival of public macro news than at other times. This is not consistent with news effects being common knowledge that is impounded in price directly. Roughly two-thirds of the total effect of macro news on the DM/$ exchange rate is transmitted via order flow. (C) 2008 Elsevier B.V. All rights reserved.