Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40284
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dc.contributor.authorKreuter, Christofen_US
dc.contributor.authorGottschling, Andreasen_US
dc.contributor.authorCornelius, Peteren_US
dc.date.accessioned2010-07-27en_US
dc.date.available2010-09-24T14:30:00Z-
dc.date.issued1998en_US
dc.identifier.urihttp://hdl.handle.net/10419/40284-
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.publisher|aDeutsche Bank Research |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aResearch notes in economics & statistics |x98-2en_US
dc.subject.jelF31en_US
dc.subject.jelF40-
dc.subject.ddc330en_US
dc.subject.keywordexchange ratesen_US
dc.subject.keywordinterest ratesen_US
dc.subject.keywordannouncement effectsen_US
dc.subject.keywordindexed bondsen
dc.subject.stwWechselkursen_US
dc.subject.stwZinsen_US
dc.subject.stwAnkündigungseffekten_US
dc.subject.stwLohnstatistiken_US
dc.subject.stwSchätzungen_US
dc.subject.stwIndexanleiheen_US
dc.subject.stwUSAen_US
dc.subject.stwDeutschlanden_US
dc.titleThe reaction of exchange rates and interest rates of news releasesen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn821923315en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:dbrrns:982-

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