Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82122
Authors: 
Fatum, Rasmus
Hutchison, Michael
Wu, Thomas
Year of Publication: 
2009
Series/Report no.: 
EPRU Working Paper Series 2009-01
Abstract: 
We investigate the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We show that news surprises from Japan are as influential as those from the U.S. in moving 5-minute JPY/USD exchange rate returns and, therefore, focusing on U.S. news while disregarding foreign news misses half the story. Our results also show that distinguishing between positive and negative news surprises and the state of the Japanese business cycle is important in understanding the link between exchange rates and news.
Subjects: 
Foreign Exchange Rates
Intraday Data
Macroeconomic News Effects
JEL: 
F31
G15
C22
Document Type: 
Working Paper

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