This document has not been cited yet.

1. Almeida, A., Goodhart, C., Payne, R., 1998. The effects of macroeconomic news on high frequency exchange rate behavior. Journal of Financial and Quantitative Analysis 33, 383–408.

2. Ben Omrane, W., Welch, R., Zhou, X., 2020. The dynamic effect of macroeconomic news on the euro/us dollar exchange rate. Journal of Forecasting 39, 84–103.

3. Blei, D.M., Ng, A.Y., Jordan, M.I., 2003. Latent dirichlet allocation. Journal of machine Learning research 3, 993–1022.
   Paper not yet in RePEc: Add citation now
   

4. Burns, K., Moosa, I.A., 2015. Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work? Economic Modelling 50, 27–39.

5. Byrne, J.P., Korobilis, D., Ribeiro, P.J., 2016. Exchange rate predictability in a changing world. Journal of International Money and Finance 62, 1–24.

6. Caporale, G.M., Spagnolo, F., Spagnolo, N., 2018. Exchange rates and macro news in emerging markets. Research in International Business and Finance 46, 516–527.

7. Carriero, A., Kapetanios, G., Marcellino, M., 2009. Forecasting exchange rates with a large bayesian var. International Journal of Forecasting 25, 400–417.

8. Caruso, A., et al., 2016. The impact of macroeconomic news on the euro-dollar exchange rate. ECARES Working Papers .

9. Chen, C., Yao, S., Ou, J., 2017. Exchange rate dynamics in a taylor rule framework. Journal of International Financial Markets, Institutions and Money 46, 158–173.

10. Cheung, Y.W., Fatum, R., Yamamoto, Y., 2019. The exchange rate effects of macro news after the global financial crisis. Journal of International Money and Finance 95, 424–443.

11. Choi, W.G., Wen, Y., 2010. Dissecting Taylor rules in a Structural VAR. 10-20, International Monetary Fund.

12. Clarida, R.H., Waldman, D., 2008. Is bad news about inflation good news for the exchange rate? and, if so, can that tell us anything about the conduct of monetary policy?, in: Asset Prices and Monetary Policy. University of Chicago Press, pp. 371–396.

13. Coronado, S., Gupta, R., Hkiri, B., Rojas, O., 2020. Time-varying spillovers between currency and stock markets in the usa: Historical evidence from more than two centuries. Advances in Decision Sciences 24, 1–32.

14. Devereux, M.B., Engel, C., 2006. Expectations and exchange rate policy.

15. Ding, L., Vo, M., 2012. Exchange rates and oil prices: A multivariate stochastic volatility analysis. The Quarterly Review of Economics and Finance 52, 15–37.

16. Dyhrberg, A.H., 2016. Bitcoin, gold and the dollar–a garch volatility analysis. Finance Research Letters 16, 85–92.

17. Edwards, S., 1983. Floating exchange rates, expectations and new information. Journal of Monetary Economics 11, 321–336.

18. Engel, C., Lee, D., Liu, C., Liu, C., Wu, S.P.Y., 2019. The uncovered interest parity puzzle, exchange rate forecasting, and taylor rules. Journal of International Money and Finance 95, 317–331.

19. Engel, C., Mark, N., West, K., 2006. Exchange-rate models. NBER Reporter Fall 2006, 17–34.
    Paper not yet in RePEc: Add citation now
    

20. Engel, C., Mark, N.C., West, K.D., Rogoff, K., Rossi, B., 2007. Exchange rate models are not as bad as you think [with comments and discussion]. NBER macroeconomics annual 22, 381–473.

21. Engel, C., West, K.D., 2004. Taylor rules and the Deutschmark-Dollar real exchange rate. Technical Report. National Bureau of Economic Research.

22. Evans, M.D., Lyons, R.K., 2008. How is macro news transmitted to exchange rates? Journal of Financial Economics 88, 26–50.

23. Fratzscher, M., 2009. What explains global exchange rate movements during the financial crisis? Journal of International Money and Finance 28, 1390–1407.

24. Galati, G., Ho, C., 2003. Macroeconomic news and the euro/dollar exchange rate. Economic notes 32, 371–398.

25. Gavin, M., 1989. The stock market and exchange rate dynamics. Journal of international money and finance 8, 181–200.

26. Glasserman, P., Mamaysky, H., 2019. Does unusual news forecast market stress? Journal of Financial and Quantitative Analysis 54, 1937–1974.

27. Goodhart, C.A., Hall, S.G., Henry, S.B., Pesaran, B., 1993. News effects in a high-frequency model of the sterling-dollar exchange rate. Journal of Applied Econometrics 8, 1–13.
    Paper not yet in RePEc: Add citation now
    

28. Grossmann, A., Love, I., Orlov, A.G., 2014. The dynamics of exchange rate volatility: A panel var approach. Journal of International Financial Markets, Institutions and Money 33, 1–27.

29. Guo, W., Chen, Z., 2023. China–us economic and trade relations, trade news, and shortterm fluctuation of the rmb exchange rate. Review of International Economics 31, 180– 203.
    Paper not yet in RePEc: Add citation now
    

30. Hogan, K., Melvin, M., Roberts, D.J., 1991. Trade balance news and exchange rates: Is there a policy signal? Journal of International Money and Finance 10, S90–S99.

31. Ince, O., Molodtsova, T., Papell, D.H., 2016. Taylor rule deviations and out-of-sample exchange rate predictability. Journal of International Money and Finance 69, 22–44.

32. Ito, T., Roley, V.V., 1987. News from the us and japan: which moves the yen/dollar exchange rate? Journal of Monetary Economics 19, 255–277.

33. Jabeen, M., Rashid, A., Ihsan, H., 2022. The news effects on exchange rate returns and volatility: Evidence from pakistan. International Journal of Finance & Economics 27, 745–769.

34. Kebe, M., Uhl, M., 2022. High-frequency effects of novel news on the eurusd exchange rate. Journal of Behavioral Finance , 1–14.
    Paper not yet in RePEc: Add citation now
    

35. Koop, G., Pesaran, M.H., Potter, S.M., 1996. Impulse response analysis in nonlinear multivariate models. Journal of econometrics 74, 119–147.

36. Love, R., Payne, R., 2008. Macroeconomic news, order flows, and exchange rates. Journal of Financial and Quantitative Analysis 43, 467–488.

37. Molodtsova, T., Nikolsko-Rzhevskyy, A., Papell, D.H., 2008. Taylor rules with real-time data: A tale of two countries and one exchange rate. Journal of Monetary Economics 55, S63–S79.

38. Molodtsova, T., Nikolsko-Rzhevskyy, A., Papell, D.H., 2011. Taylor rules and the euro. Journal of Money, Credit and Banking 43, 535–552.

39. Molodtsova, T., Papell, D.H., 2009. Out-of-sample exchange rate predictability with taylor rule fundamentals. Journal of international economics 77, 167–180.

40. Narayan, P.K., Bannigidadmath, D., Narayan, S., 2021. How much does economic news influence bilateral exchange rates? Journal of International Money and Finance 115, 102410.

41. Peramunetilleke, D., Wong, R.K., 2002. Currency exchange rate forecasting from news headlines. Australian Computer Science Communications 24, 131–139.
    Paper not yet in RePEc: Add citation now
    

42. Pesaran, H.H., Shin, Y., 1998. Generalized impulse response analysis in linear multivariate models. Economics letters 58, 17–29.

43. Phylaktis, K., Ravazzolo, F., 2005. Stock prices and exchange rate dynamics. Journal of international Money and Finance 24, 1031–1053.

44. Reboredo, J.C., Rivera-Castro, M.A., 2013. A wavelet decomposition approach to crude oil price and exchange rate dependence. Economic Modelling 32, 42–57.

45. Rosa, C., 2011. The high-frequency response of exchange rates to monetary policy actions and statements. Journal of Banking & Finance 35, 478–489.

46. Rossi, B., 2013. Exchange rate predictability. Journal of economic literature 51, 1063–1119.

47. Shannon, C.E., 1948. A mathematical theory of communication. The Bell system technical journal 27, 379–423.
    Paper not yet in RePEc: Add citation now
    

48. Taylor, J.B., 1993. Discretion versus policy rules in practice, in: Carnegie-Rochester conference series on public policy, Elsevier. pp. 195–214.

49. Thorsrud, L.A., 2018. Words are the new numbers: A newsy coincident index of the business cycle. Journal of Business & Economic Statistics , 1–17.
    Paper not yet in RePEc: Add citation now
    

50. Tsai, I.C., 2012. The relationship between stock price index and exchange rate in asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money 22, 609–621.

51. Walid, C., Chaker, A., Masood, O., Fry, J., 2011. Stock market volatility and exchange rates in emerging countries: A markov-state switching approach. Emerging Markets Review 12, 272–292.

52. Wang, J., Wu, J.J., 2012. The taylor rule and forecast intervals for exchange rates. Journal of Money, Credit and banking 44, 103–144.

53. Wang, R., Morley, B., Stamatogiannis, M.P., 2019. Forecasting the exchange rate using nonlinear taylor rule based models. International Journal of Forecasting 35, 429–442.

54. Xie, Z., Chen, S.W., Wu, A.C., 2020. The foreign exchange and stock market nexus: New international evidence. International Review of Economics & Finance 67, 240–266.

55. Zhang, D., Simoff, S.J., Debenham, J., 2005. Exchange rate modelling using news articles and economic data, in: Australasian Joint Conference on Artificial Intelligence, Springer. pp. 467–476.
    Paper not yet in RePEc: Add citation now
    

1. Unconventional monetary policy had large international effects. (2015). Neely, Christopher.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:52:y:2015:i:c:p:101-111.

   Full description at Econpapers || Download paper

2. Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test. (2011). Orbe, Sebastian ; Hess, Dieter.
   In: CFR Working Papers.
   RePEc:zbw:cfrwps:1113.

   Full description at Econpapers || Download paper

3. Does FOMC news increase global FX trading?. (2011). Ranaldo, Angelo ; Fischer, Andreas.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:35:y:2011:i:11:p:2965-2973.

   Full description at Econpapers || Download paper

4. The large scale asset purchases had large international effects. (2010). Neely, Christopher.
   In: Working Papers.
   RePEc:fip:fedlwp:2010-018.

   Full description at Econpapers || Download paper

5. Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates. (2010). Wu, Thomas ; Hutchison, Michael ; Fatum, Rasmus.
   In: Globalization Institute Working Papers.
   RePEc:fip:feddgw:49.

   Full description at Econpapers || Download paper

6. Does foreign exchange reserve decumulation lead to currency appreciation?. (2010). Fatum, Rasmus ; Dominguez, Kathryn ; Vacek, Pavel ; Kathryn M. E. Dominguez, .
   In: Globalization Institute Working Papers.
   RePEc:fip:feddgw:48.

   Full description at Econpapers || Download paper

7. The electronic trading systems and bid-ask spreads in the foreign exchange market. (2010). Ding, Liang ; Hiltrop, Jonas .
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:20:y:2010:i:4:p:323-345.

   Full description at Econpapers || Download paper

8. Monthly pass-through ratios. (2010). Fischer, Andreas ; Amstad, Marlene.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:34:y:2010:i:7:p:1202-1213.

   Full description at Econpapers || Download paper

9. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market. (2009). Pinter, Klara ; Frömmel, Michael ; Norbert Kiss M., ; Frommel, Michael.
   In: MNB Working Papers.
   RePEc:mnb:wpaper:2009/3.

   Full description at Econpapers || Download paper

10. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

    Full description at Econpapers || Download paper

11. Bank of England Interest Rate Announcements and the Foreign Exchange Market. (2009). Taylor, Mark ; Saborowski, Christian ; Sager, Michael ; Melvin, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2613.

    Full description at Econpapers || Download paper

12. Does FOMC News Increase Global FX Trading?. (2008). Ranaldo, Angelo ; Fischer, Andreas.
    In: Working Papers.
    RePEc:snb:snbwpa:2008-09.

    Full description at Econpapers || Download paper

13. How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data. (2008). Tsutsui, Yoshiro ; Hirayama, Kenjiro.
    In: Discussion Papers in Economics and Business.
    RePEc:osk:wpaper:0832.

    Full description at Econpapers || Download paper

14. Macroeconomic News, Business Cycles and Australian Financial Markets. (2008). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:15:y:2008:i:3:p:185-207.

    Full description at Econpapers || Download paper

15. Price Adjustment to News with Uncertain Precision. (2008). Hautsch, Nikolaus ; Hess, Dieter ; Muller, Christoph.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-025.

    Full description at Econpapers || Download paper

16. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. (2008). Wu, Liuren ; Carr, Peter ; Bakshi, Gurdip.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:132-156.

    Full description at Econpapers || Download paper

17. Forecasting foreign exchange rates using idiosyncratic volatility. (2008). Guo, Hui ; Savickas, Robert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:7:p:1322-1332.

    Full description at Econpapers || Download paper

18. Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates. (2008). Han, Young Wook.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:20:y:2008:i:4:p:585-600.

    Full description at Econpapers || Download paper

19. Does FOMC News Increase Global FX Trading?. (2008). Ranaldo, Angelo ; Fischer, Andreas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6753.

    Full description at Econpapers || Download paper

20. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Kathryn M. E. Dominguez, ; Panthaki, Freyan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12953.

    Full description at Econpapers || Download paper

21. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Kathryn M. E. Dominguez, ; Panthaki, Freyan .
    In: Working Papers.
    RePEc:mie:wpaper:561.

    Full description at Econpapers || Download paper

22. Deregulation, news releases, and price discovery. (2007). Moore, William ; Christie-David, Rohan ; Chen, Manfen .
    In: Journal of Regulatory Economics.
    RePEc:kap:regeco:v:31:y:2007:i:3:p:289-312.

    Full description at Econpapers || Download paper

23. The Asymmetric Response of Equity REIT Returns to Inflation. (2007). Ramchander, Sanjay ; Simpson, Marc ; Webb, James.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:34:y:2007:i:4:p:513-529.

    Full description at Econpapers || Download paper

24. The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields. (2007). Bayoumi, Tamim ; Swiston, Andrew J.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2007/128.

    Full description at Econpapers || Download paper

25. The influence of actual and unrequited interventions. (2007). Dominguez, Kathryn ; Kathryn M. E. Dominguez, ; Panthaki, Freyan .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:2:p:171-200.

    Full description at Econpapers || Download paper

26. 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

27. Macroeconomic news and exchange rates. (2007). Pearce, Douglas ; Solakoglu, Nihat M..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:17:y:2007:i:4:p:307-325.

    Full description at Econpapers || Download paper

28. International capital asset pricing: Evidence from options. (2007). Wu, Liuren ; Mo, Henry.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:465-498.

    Full description at Econpapers || Download paper

29. 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

30. 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

31. The tick/volatility ratio as a determinant of the compass rose pattern. (2005). Gleason, Kimberly ; Mathur, Ike ; Lee, Chun.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:2:p:93-109.

    Full description at Econpapers || Download paper

32. 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

33. 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

34. What Defines News in Foreign Exchange Markets. (2005). Dominguez, Kathryn ; Panthaki, Freyan .
    In: Working Papers.
    RePEc:mie:wpaper:547.

    Full description at Econpapers || Download paper

35. 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

36. Shock Identification of Macroeconomic Forecasts Based on Daily Panels. (2005). Fischer, Andreas ; Amstad, Marlene.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5008.

    Full description at Econpapers || Download paper

37. 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

38. 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

39. Determinants of the relative price impact of unanticipated information in US macroeconomic releases. (2003). Hess, Dieter.
    In: Frankfurt School - Working Paper Series.
    RePEc:zbw:fsfmwp:46.

    Full description at Econpapers || Download paper

40. News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media. (2003). Schuster, Thomas.
    In: Finance.
    RePEc:wpa:wuwpfi:0305009.

    Full description at Econpapers || Download paper

41. The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System. (2003). Renò, Roberto ; Barucci, Emilio ; Impenna, Claudio.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:24.

    Full description at Econpapers || Download paper

42. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

    Full description at Econpapers || Download paper

43. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: Working Papers.
    RePEc:mie:wpaper:506.

    Full description at Econpapers || Download paper

44. 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

45. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

46. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

    Full description at Econpapers || Download paper

47. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Anderson, Torben G..
    In: Working Papers.
    RePEc:ecl:upafin:02-1.

    Full description at Econpapers || Download paper

48. Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases. (2001). Podpiera, Richard.
    In: Finance.
    RePEc:wpa:wuwpfi:0012005.

    Full description at Econpapers || Download paper

49. Do macroeconomics news releases affect gold and silver prices?. (2000). Koch, Timothy W. ; Christie-David, Rohan ; Chaudhry, Mukesh.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:52:y:2000:i:5:p:405-421.

    Full description at Econpapers || Download paper

50. Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases. (2000). Podpiera, Richard.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp156.

    Full description at Econpapers || Download paper

Report date: 2025-09-24 12:36:11 || Missing content? Let us know