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http://hdl.handle.net/10419/40275
  

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dc.contributor.authorGottschling, Andreasen_US
dc.date.accessioned2010-07-27en_US
dc.date.accessioned2010-09-24T14:29:50Z-
dc.date.available2010-09-24T14:29:50Z-
dc.date.issued1998en_US
dc.identifier.urihttp://hdl.handle.net/10419/40275-
dc.description.abstractThis note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the percentage change between the means of symmetrically sampled values of daily exchange rate and interest rates before and after the announcement day to the distribution of absolute changes in means for all periods excluding non-farm payroll news. We find a highly significant reaction for both the DEM/USD rate and bond yields, depending on the window size. Short-term US interest rates, by contrast are hardly affected. Finally, the reaction of inflation indexed bond yields to news announcements is investigated..en_US
dc.language.isoengen_US
dc.publisherDB Research Frankfurt am Mainen_US
dc.relation.ispartofseriesResearch notes in economics & statistics 98-2en_US
dc.subject.jelF31en_US
dc.subject.jelF40en_US
dc.subject.ddc330en_US
dc.subject.keywordleading indicatoren_US
dc.subject.keywordturning pointen_US
dc.subject.keywordpredictionen_US
dc.subject.stwKonjunkturindikatoren_US
dc.subject.stwIndexen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwTheorieen_US
dc.titleA new approach to the evaluation and selection of leading indicatorsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn258320400en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:dbrrns:982-
Appears in Collections:Research Notes, Deutsche Bank Research

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