Shock Effects on Stocks, Bonds, and Exchange Rates

31 Pages Posted: 9 Feb 2001

See all articles by Ray C. Fair

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

Date Written: January 2001

Abstract

Tick data and newswire searches are used to find events that led to large and rapid changes in a stock future, a bond future, and three exchange rate futures. Knowledge of these events may be useful in future work. They have the advantages that they are truly surprises and that the sign of their effect on each financial market is known. The events are used in this study to analyze the effects of three types of shocks on the five variables.

JEL Classification: G10, E44

Suggested Citation

Fair, Ray C., Shock Effects on Stocks, Bonds, and Exchange Rates (January 2001). Yale SOM Working Paper No. ICF - 00-26. Available at SSRN: https://ssrn.com/abstract=257923 or http://dx.doi.org/10.2139/ssrn.257923

Ray C. Fair (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Yale School of Management - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

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