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Kreuter, Christof
Gottschling, Andreas
Cornelius, Peter
Year of Publication: 
Series/Report no.: 
Research Notes No. 98-2
Deutsche Bank Research, Frankfurt a. M.
This 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.
exchange rates
interest rates
announcement effects
indexed bonds
Document Type: 
Working Paper

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