Shock Effects on Stocks, Bonds, and Exchange Rates
31 Pages Posted: 9 Feb 2001
Date Written: January 2001
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: Suggested Citation