The Exchange Rate Effects of Macro News after the Global Financial Crisis

33 Pages Posted: 8 Mar 2017

See all articles by Yin-Wong Cheung

Yin-Wong Cheung

City University of Hong Kong - Department of Economics & Finance; University of California, Santa Cruz - Department of Economics; University of California at Santa Cruz - Department of Economics

Rasmus Fatum

University of Alberta - Department of Marketing, Business Economics & Law

Yohei Yamamoto

Hitotsubashi University; Tokyo Center for Economic Research (TCER)

Date Written: 2017-02-01

Abstract

This paper explores whether the exchange rate effects of macro news are time- and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Crisis. A comprehensive set totaling 40 time-stamped US and Japanese news variables and preceding survey expectations along with 5-minute indicative JPY/USD quotes spanning the 1 January 1999 to 31 August 2016 period facilitate our analysis. Our results suggest that while US macro news are now more important than before the Crisis, the influence of Japanese macro news has waned to the point of near-irrelevance. These findings are of particular importance to exchange rate modeling of the New Era.

JEL Classification: F31, G15

Suggested Citation

Cheung, Yin-Wong and Fatum, Rasmus and Yamamoto, Yohei, The Exchange Rate Effects of Macro News after the Global Financial Crisis (2017-02-01). Globalization and Monetary Policy Institute Working Paper No. 305. Available at SSRN: https://ssrn.com/abstract=2929412 or http://dx.doi.org/10.24149/gwp305

Yin-Wong Cheung (Contact Author)

City University of Hong Kong - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong

University of California, Santa Cruz - Department of Economics ( email )

435 Engineering 2
Santa Cruz, CA 95064
United States
831-459-4247 (Phone)
831-459-5077 (Fax)

University of California at Santa Cruz - Department of Economics ( email )

1156 High Street
Santa Cruz, CA 95064
United States

Rasmus Fatum

University of Alberta - Department of Marketing, Business Economics & Law ( email )

Edmonton, Alberta T6G 2R6
Canada
780-492-3951 (Phone)
780-492-3325 (Fax)

HOME PAGE: http://www.bus.ualberta.ca/rfatum

Yohei Yamamoto

Hitotsubashi University ( email )

2-1 Naka Kunitachi-shi
Tokyo 186-8601
Japan

Tokyo Center for Economic Research (TCER) ( email )

Sankyo Building
Room 703, Main Building
Chiyoda-ku, Tokyo, 1-7-10
Japan

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