|
|
|
|
||||
|
||||
Macroeconomic News and the DM/$ Exchange RateAris ProtopapadakisUniversity of Southern California - Marshall School of Business - Finance and Business Economics Department Mark J. FlanneryUniversity of Florida - Department of Finance, Insurance and Real Estate June 28, 2012 Marshall School of Business Working Paper No. FBE 05.12 Abstract: Empirical confirmation that the effect of macroeconomic fundamentals on exchange rates is economically important has been scarce. This paper employs a general GARCH specification with asymmetric responses to investigate the effect of 35 U.S. and German macroeconomic news announcements on the daily DM/$ exchange rate over the 1980-1998 period. We conclude that FX rates are strongly connected to real and nominal sector developments in both countries, and that real sector announcements influence the exchange rate more strongly than money or inflation announcements. We find that surprisingly high real growth appreciates the exchange rate and raises yields.
Number of Pages in PDF File: 58 JEL Classification: E52, F31, F33, F41, G12 working papers seriesDate posted: July 30, 2012Suggested CitationContact Information
|
|
||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo4 in 0.484 seconds
