Exchange Rates Responses to Macroeconomic Surprises: Evidence from the Asia-Pacific Markets

World Finance Conference 2014: Ca` Foscari University, Venice, Italy (July 2-4, 2014)

38 Pages Posted: 26 Jan 2015

See all articles by Yuen Meng Wong

Yuen Meng Wong

University of Malaya (UM) - Faculty of Business & Accountancy

Mohamed Ariff

Bond University; University Putra Malaysia

Rubi Ahmad

University of Malaya (UM)

Date Written: July 3, 2014

Abstract

This paper reports new findings from Asia-Pacific economies on exchange rate revisions following macroeconomic shocks. Regional macroeconomic shocks are as important as the U.S. macroeconomic shocks in affecting exchange rate returns. All Asia-Pacific currencies with the exception of Thai baht react significantly to local macroeconomic shocks. Australian dollar is identified as the most elastic currency responding to macroeconomic shocks, and is more responsive than the Japanese yen. Interest-rate related shocks are generally the most influential events. We provide a ranking list on the relative impact sensitivity of macroeconomic shocks. The announcement effect of the U.S. open market actions via Fed Rate revisions is recognised as the most significant event among the 107 macroeconomic announcements examined.

Keywords: Macroeconomic shocks, exchange rates, Asia-Pacific currencies, economic events

JEL Classification: E44, F31, G15

Suggested Citation

Wong, Yuen Meng and Ariff, Mohamed and Ahmad, Rubi, Exchange Rates Responses to Macroeconomic Surprises: Evidence from the Asia-Pacific Markets (July 3, 2014). World Finance Conference 2014: Ca` Foscari University, Venice, Italy (July 2-4, 2014), Available at SSRN: https://ssrn.com/abstract=2555171 or http://dx.doi.org/10.2139/ssrn.2555171

Yuen Meng Wong (Contact Author)

University of Malaya (UM) - Faculty of Business & Accountancy ( email )

Jalan Lembah Pantai
Kuala Lumpur, Wilayah Persekutuan 50603
Malaysia

Mohamed Ariff

Bond University ( email )

Gold Coast, QLD 4229
Australia

University Putra Malaysia ( email )

Selangor Darul Ehsan
Serdang, Selangor 43400
Malaysia

Rubi Ahmad

University of Malaya (UM) ( email )

Kuala Lumpur, Wilayah Persekutuan 50603
University of Malaya (UM)
Kuala Lumpur, Wilayah Persekutuan 50603
Malaysia
+603 79673961 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
41
Abstract Views
692
PlumX Metrics