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dc.contributor.authorKreuter, Christofen
dc.contributor.authorGottschling, Andreasen
dc.contributor.authorCornelius, Peteren
dc.date.accessioned2010-07-27-
dc.date.available2010-09-24T14:30:00Z-
dc.date.issued1998-
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
dc.language.isoengen
dc.publisher|aDeutsche Bank Research |cFrankfurt a. M.en
dc.relation.ispartofseries|aResearch Notes |x98-2en
dc.subject.jelF31en
dc.subject.jelF40en
dc.subject.ddc330en
dc.subject.keywordexchange ratesen
dc.subject.keywordinterest ratesen
dc.subject.keywordannouncement effectsen
dc.subject.keywordindexed bondsen
dc.subject.stwWechselkursen
dc.subject.stwZinsen
dc.subject.stwAnkündigungseffekten
dc.subject.stwLohnstatistiken
dc.subject.stwSchätzungen
dc.subject.stwIndexanleiheen
dc.subject.stwUSAen
dc.subject.stwDeutschlanden
dc.titleThe reaction of exchange rates and interest rates of news releases-
dc.typeWorking Paperen
dc.identifier.ppn821923315en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:dbrrns:982en

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