create a website

High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market. (2014). Valente, Giorgio ; Lo, Ingrid ; Jiang, George J..
In: Staff Working Papers.
RePEc:bca:bocawp:14-56.

Full description at Econpapers || Download paper

Cited: 19

Citations received by this document

Cites: 41

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. High-frequency trading in the stock market and the costs of options market making. (2024). Sagade, Satchit ; Nimalendran, Mahendrarajah ; Rzayev, Khaladdin.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:124228.

    Full description at Econpapers || Download paper

  2. High-frequency trading in the stock market and the costs of options market making. (2024). Sagade, Satchit ; Nimalendran, Mahendrarajah ; Rzayev, Khaladdin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001235.

    Full description at Econpapers || Download paper

  3. High-frequency trading in the stock market and the costs of option market making. (2022). Sagade, Satchit ; Nimalendran, Mahendrarajah ; Rzayev, Khaladdin.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118885.

    Full description at Econpapers || Download paper

  4. Competition among liquidity providers with access to high-frequency trading technology. (2021). van Achter, Mark ; Bongaerts, Dion.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:140:y:2021:i:1:p:220-249.

    Full description at Econpapers || Download paper

  5. High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies. (2020). Sánchez Serrano, Antonio ; Antonio, Sanchez Serrano.
    In: Review of Economics.
    RePEc:lus:reveco:v:71:y:2020:i:3:p:169-195:n:1.

    Full description at Econpapers || Download paper

  6. Algorithmic and high frequency trading in Asia-Pacific, now and the future. (2019). Kalev, Petko S ; Zhou, Hao.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:53:y:2019:i:c:p:186-207.

    Full description at Econpapers || Download paper

  7. Fast trading and the virtue of entropy: evidence from the foreign exchange market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192300.

    Full description at Econpapers || Download paper

  8. Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo.
    In: Discussion Papers.
    RePEc:cfm:wpaper:1914.

    Full description at Econpapers || Download paper

  9. Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1970.

    Full description at Econpapers || Download paper

  10. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
    In: PhD Thesis.
    RePEc:uts:finphd:39.

    Full description at Econpapers || Download paper

  11. The Role of Liquidity in Financial Intermediation. (2018). Su, Fei.
    In: PhD Thesis.
    RePEc:uts:finphd:38.

    Full description at Econpapers || Download paper

  12. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
    In: PhD Thesis.
    RePEc:uts:finphd:2-2018.

    Full description at Econpapers || Download paper

  13. Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market. (2018). Kumano, Yusuke ; Goshima, Keiichi.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:18-e-13.

    Full description at Econpapers || Download paper

  14. Implications of high-frequency trading for security markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, Soheil.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:06/18.

    Full description at Econpapers || Download paper

  15. Global price discovery in the Australian dollar market and its determinants. (2018). Zhang, Jingjing ; Su, Fei.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

    Full description at Econpapers || Download paper

  16. Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1802.

    Full description at Econpapers || Download paper

  17. BTP futures and cash relationships: a high frequency data analysis. (2016). Panzarino, Onofrio ; Potente, Francesco ; Puorro, Alfonso .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1083_16.

    Full description at Econpapers || Download paper

  18. THE STABILITY OF INTERNATIONAL FINANCIAL MARKETS VERSUS EMERGING ECONOMIES VULNERABILITY. (2016). Nstase, Luiza Loredana.
    In: Annals of University of Craiova - Economic Sciences Series.
    RePEc:aio:aucsse:v:1:y:2016:i:44:p:160-167.

    Full description at Econpapers || Download paper

  19. Fragilities in the U.S. Treasury Market: Lessons from the “Flash Rally” of October 15, 2014. (2015). Chen, Yingyuan ; Sasaki, Tsuyoshi ; Breuer, Peter ; Jones, David ; Bouveret, Antoine.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2015/222.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. — (1999). “Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information.” Journal of Finance 54, 1901-1915.
    Paper not yet in RePEc: Add citation now
  2. — (2004). “Expandable Limit Order Markets.” Journal of Financial Markets 7, 145-189.
    Paper not yet in RePEc: Add citation now
  3. —(2007). “Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets.” Journal of International Economics 73, 251-277.
    Paper not yet in RePEc: Add citation now
  4. Aite Group Report (2008). “U.S. Electronic Fixed Income Trading Platforms: The World Ain’t Standing Still.”Boston.
    Paper not yet in RePEc: Add citation now

  5. Andersen, T., T. Bollerslev, F. Diebold and C. Vega (2003). “Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.” American Economic Review 93, 38-62.

  6. Balduzzi, P., E. Elton, and C. Green (2001). “Economic News and Bond Prices: Evidence From the U.S. Treasury Market.” Journal of Financial and Quantitative Analysis 36, 523-543.

  7. Bamber, L. S. (1987). “Unexpected Earnings, Firm Size, and Trading Volume Around Quarterly Earnings Announcements.” The Accounting Review 62, 510–522.
    Paper not yet in RePEc: Add citation now

  8. Barclay, M., T. Hendershott, and K. Kotz (2006). “Automation versus Intermediation: Evidence from Treasuries Going off the Run.” Journal of Finance 61, 2395–2414.

  9. Biais, B., J. Hombert and P. Weill (2010). “Trading and Liquidity with Limited Cognition.” NBER Working Paper No 16628.

  10. Biais, B., T. Foucault and S. Moinas (2011). “Equilibrium Algorithmic Trading.” HEC Paris Working Paper.
    Paper not yet in RePEc: Add citation now
  11. Boehmer, E., K. Fong, and J. Wu (2012). “International Evidence on Algorithmic Trading.” EDHEC Business School Working Paper.
    Paper not yet in RePEc: Add citation now

  12. Boni, L. and C. Leach (2002). “Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market.” Journal of Money Credit and Banking 34, 740-762.

  13. Brandt, M. and K. Kavajecz (2004). “Price Discovery in the US Treasury Market: The Impact of Order Flow and Liquidity on the Yield Curve.” Journal of Finance 59, 2623-2654.

  14. Brogaard, J., T. Hendershott and R. Riordan (2014). ”High Frequency Trading and Price Discovery.

  15. Chaboud, A., B. Chiquoine, E. Hjalmarsson and C. Vega (2014). “Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market.” Journal of Finance, forthcoming.

  16. Chlistalla, M. (2011). “High Frequency Trading. Better than Its Reputation?” Deutsche Bank Research Working Paper.
    Paper not yet in RePEc: Add citation now
  17. Clark, E. (2011). ‘The Algorithmic Hare and the Legal Tortoise: High Frequency Trading and the Challenge for Regulators.” Griffith University Working Paper.
    Paper not yet in RePEc: Add citation now
  18. Fleming, M. , and B. Mizrach (2009). “The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform.” Federal Reserve Bank of New York Working Paper.
    Paper not yet in RePEc: Add citation now
  19. Foucault, T., J. Hombert and I. Rosu (2013). “News Trading and Speed.” HEC Paris Working Paper.
    Paper not yet in RePEc: Add citation now

  20. Green, T. (2004). “Economic News and the Impact of Trading on Bond Prices.” Journal of Finance 59, 1201-1233.

  21. Hasbrouck, J. (2012). “High-Frequency Quoting: Measurement, Detection and Interpretation.” New York University Working Paper.
    Paper not yet in RePEc: Add citation now

  22. Hendershott, T. and R. Riordan (2013). “Algorithmic Trading and the Market for Liquidity.” Journal of Financial and Quantitative Analysis 48, 1001-1024 .

  23. Hendershott, T., C. Jones and A. Menkveld (2011). “Does Algorithmic Trading Improves Liquidity ?” Journal of Finance 66, 1-33.

  24. Hirschey, N. (2013). “Do High-Frequency Traders Anticipate Buying and Selling Pressure?” London Business School Working Paper.
    Paper not yet in RePEc: Add citation now
  25. Hoerdahl, P., E. Remolona and G. Valente (2012). “Risk Premia, Macroeconomic Fundamentals and the Yield Curve at 8:30AM.” Bank for International Settlements Working Paper.
    Paper not yet in RePEc: Add citation now

  26. Hoffmann, P. (2014). “A Dynamic Limit Order Market with Fast and Slow Traders.” Journal of Financial Economics 113, 156-169.

  27. Jiang, G. , I. Lo, and A. Verdelhan (2011). “Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U. S. Treasury Market.” Journal of Financial and Quantitative Analysis 46, 527-551.

  28. Jovanovic, B. and A. Menkveld (2011). “Middlemen in Limit-Order Markets.” New York University Working Paper.
    Paper not yet in RePEc: Add citation now
  29. Kite, S. (2010). “Algos Take Hold in Fixed-Income Markets.” Securities Technology Monitor, February.
    Paper not yet in RePEc: Add citation now
  30. Kosinsky, R. J. (2013). “A Literature Review on Reaction Time ” [Online] available at http://biae.clemson.edu/bpc/ accessed 1 August 2014.
    Paper not yet in RePEc: Add citation now
  31. Martinez, V., and I. Rosu (2013). ”High Frequency Traders, News and Volatility.” HEC Paris Working Paper.
    Paper not yet in RePEc: Add citation now

  32. Menkveld, A. (2013). “High Frequency Trading and the New Market Makers.” Journal of Financial Markets 16, 712-740.

  33. Menkveld, A., A. Sarkar and M. van der Wel (2012). “Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate.” Journal of Financial Quantitative Analysis 16, 571-603.

  34. Mizrach, B. and C. Neely (2006). “The Microstructure of the U.S. Treasury.” Encyclopedia of Complexity and Systems Science, R. A. Meyers (ed.) New York, NY: Springer-Verlag.

  35. Mizrach, B., and C. Neely (2008). “Information Shares in the U.S. Treasury Market.” Journal of Banking and Finance 32, 1221–33.

  36. Pasquariello, P. and C. Vega (2007). “Informed and Strategic Order Flow in the Bond Markets.” Review of Financial Studies 20, 1975-2019.

  37. Safarik, D. (2005). “Fixed Income Meets the Black Box.” Wall Street and Technology, October.
    Paper not yet in RePEc: Add citation now
  38. Scholtus, M. and D. van Dijk (2012). “High-frequency Technical Trading: The Importance of Speed.” Tinbergen Institute Discussion Paper No. 12-018/4.
    Paper not yet in RePEc: Add citation now

  39. Scholtus, M., D. van Dijk and B. Frijns (2012). “Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements.” Tinbergen Institute Discussion Paper No. 2012121 /III.

  40. SEC (2010). “Concept Release on Equity Market Structure.” Release No. 34-61358; File No. S7-02-10.
    Paper not yet in RePEc: Add citation now
  41. Zhang, F. (2010). “High-Frequency Trading, Stock Volatility, and Price Discovery” Yale School of Management Working Paper.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Proxy-identification of a structural MGARCH model for asset returns. (2024). Polivka, Jeannine ; Fengler, Matthias.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2021:03.

    Full description at Econpapers || Download paper

  2. Policy and Macro Signals as Inputs to Inflation Expectation Formation. (2016). Hubert, Paul ; Maule, Becky.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1.

    Full description at Econpapers || Download paper

  3. Impact of macro-economic surprises on carry trade activity. (2013). Sushko, Vladyslav ; Hutchison, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:4:p:1133-1147.

    Full description at Econpapers || Download paper

  4. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1302.

    Full description at Econpapers || Download paper

  5. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4264.

    Full description at Econpapers || Download paper

  6. Price and trading response to public information. (2010). Malinowska, Magdalena.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101177.

    Full description at Econpapers || Download paper

  7. Intraday volatility responses to monetary policy events. (2009). Lunde, Asger ; Zebedee, Allan .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:4:p:383-399.

    Full description at Econpapers || Download paper

  8. The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?. (2009). Roache, Shaun K ; Rossi, Marco.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/140.

    Full description at Econpapers || Download paper

  9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  10. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?. (2008). Valente, Giorgio ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6638.

    Full description at Econpapers || Download paper

  11. Anchoring bias in consensus forecasts and its effect on market prices. (2007). Sharpe, Steven ; Campbell, Sean D..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-12.

    Full description at Econpapers || Download paper

  12. The Impact of Macroeconomic News on Exchange Rate Volatility. (2007). Laakkonen, Helinä.
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:20:y:2007:i:1:p:23-40.

    Full description at Econpapers || Download paper

  13. The transmission of emerging market shocks to global equity markets. (2007). Thimann, Christian ; Fratzscher, Marcel ; Cuadro Sáez, Lucía ; Saez, Lucia Cuadro.
    In: Working Papers.
    RePEc:bde:wpaper:0727.

    Full description at Econpapers || Download paper

  14. Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets. (2006). Kräussl, Roman ; Kraussl, Roman ; Canto, Bea.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200625.

    Full description at Econpapers || Download paper

  15. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12413.

    Full description at Econpapers || Download paper

  16. Resolving Macroeconomic Uncertainty in Stock and Bond Markets. (2006). Beber, Alessandro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12270.

    Full description at Econpapers || Download paper

  17. Expectations and Exchange Rate Policy. (2006). Engel, Charles ; Devereux, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12213.

    Full description at Econpapers || Download paper

  18. Idiosyncratic volatility, economic fundamentals, and foreign exchange rates. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-025.

    Full description at Econpapers || Download paper

  19. Global asset prices and FOMC announcements. (2006). Wongswan, Jon ; Hausman, Joshua.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:886.

    Full description at Econpapers || Download paper

  20. Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data. (2006). Wright, Jonathan ; Berger, David ; Chernenko, Sergey V. ; Iyer, Raj S. ; Howorka, Edward ; Liu, David ; CHABOUD, ALAIN P..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:830.

    Full description at Econpapers || Download paper

  21. Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden. (2006). Swanson, Eric ; Levin, Andrew ; Gürkaynak, Refet.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-09.

    Full description at Econpapers || Download paper

  22. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Andersson, Magnus ; Hansen, Lars Jul .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

  23. Expectations and Exchange Rate Policy. (2006). Engel, Charles ; Devereux, Michael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5743.

    Full description at Econpapers || Download paper

  24. Shock Identification of Macroeconomic Forecasts based on Daily Panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: Working Papers.
    RePEc:szg:worpap:0502.

    Full description at Econpapers || Download paper

  25. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11769.

    Full description at Econpapers || Download paper

  26. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11166.

    Full description at Econpapers || Download paper

  27. Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting. (2005). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11042.

    Full description at Econpapers || Download paper

  28. Do Currency Markets Absorb News Quickly?. (2005). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11041.

    Full description at Econpapers || Download paper

  29. Establishing Credibility: Evolving Perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp105.

    Full description at Econpapers || Download paper

  30. CEE Banking Sector Co-Movement: Contagion or Interdependence?. (2005). lucey, brian ; Jokipii, Terhi.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp077.

    Full description at Econpapers || Download paper

  31. Establishing credibility: evolving perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
    In: Staff Reports.
    RePEc:fip:fednsr:231.

    Full description at Econpapers || Download paper

  32. Shock identification of macroeconomic forecasts based on daily panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: Staff Reports.
    RePEc:fip:fednsr:206.

    Full description at Econpapers || Download paper

  33. The response of global equity indexes to U.S. monetary policy announcements. (2005). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:844.

    Full description at Econpapers || Download paper

  34. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005452.

    Full description at Econpapers || Download paper

  35. Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements. (2005). .
    In: Working Papers.
    RePEc:dnb:dnbwpp:033.

    Full description at Econpapers || Download paper

  36. Have markets reacted differently to macroeconomic and monetary policy news since 1997? An empirical analysis of UK intraday trades and prices.. (2004). wetherilt, anne ; Burrows, Oliver .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:75.

    Full description at Econpapers || Download paper

  37. The Consequences of ‘In-Work’ Benefit Reform in Britain: New Evidence from Panel Data. (2004). van der Klaauw, Wilbert ; Francesconi, Marco.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1248.

    Full description at Econpapers || Download paper

  38. Exchange rate changes and net positions of speculators in the futures market. (2004). Klitgaard, Thomas ; Weir, Laura.
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2004:i:may:p:17-28:n:v.10no.1.

    Full description at Econpapers || Download paper

  39. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. (2004). Wright, Jonathan ; Chernenko, Sergey ; Raj S. Krishnasami Iyer, ; Howorka, Edward ; Liu, David ; CHABOUD, ALAIN P..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:823.

    Full description at Econpapers || Download paper

  40. Equal size, equal role? interest rate interdependence between the euro area and the United States. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:800.

    Full description at Econpapers || Download paper

  41. The consequences of ‘in-work’ benefit reform in Britain: new evidence from panel data. (2004). van der Klaauw, Wilbert ; Francesconi, Marco.
    In: ISER Working Paper Series.
    RePEc:ese:iserwp:2004-13.

    Full description at Econpapers || Download paper

  42. Asset Prices and Exchange Rates. (2004). Rigobon, Roberto ; Pavlova, Anna.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:579.

    Full description at Econpapers || Download paper

  43. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004365.

    Full description at Econpapers || Download paper

  44. Communication and exchange rate policy. (2004). Fratzscher, Marcel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004363.

    Full description at Econpapers || Download paper

  45. Taking stock: monetary policy transmission to equity markets. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004354.

    Full description at Econpapers || Download paper

  46. Equal size, equal role? Interdependence between the euro area and the United States. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004342.

    Full description at Econpapers || Download paper

  47. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

    Full description at Econpapers || Download paper

  48. Inventory Information. (2003). Lyons, Richard ; Evans, Martin ; Cao, Huining.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9893.

    Full description at Econpapers || Download paper

  49. What moves sovereign bond markets? The effects of economic news on U.S. and German yields. (2003). Goldberg, Linda ; Leonard, Deborah.
    In: Current Issues in Economics and Finance.
    RePEc:fip:fednci:y:2003:i:sep:n:v.9no.9.

    Full description at Econpapers || Download paper

  50. The high-frequency response of exchange rates and interest rates to macroeconomic announcements. (2003). Wright, Jonathan ; Wang, Shing-Yi ; Rogers, John ; Faust, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:784.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-06 16:17:55 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.