Macro News Effects on Exchange Rates: Difference between Carry Trade Target and Safe-haven Currencies

22 Pages Posted: 3 Jan 2023 Last revised: 1 Feb 2023

See all articles by Wenhao Wang

Wenhao Wang

Shandong University of Finance and Economics

Zhitao Lin

Jinan University - School of Economics

Bing Hu

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

Date Written: December 25, 2022

Abstract

We compare the effects of the US macro news on the exchange rates of carry trade target currencies and safe-haven currencies in the post-GFC period. Relying on the data of 5-min changes of exchange rates, we find significant responses of currencies to the surprises of the US macro news. The significance of responses was similar between the two types of currencies during the normal periods, but were weaker for target currencies in the turmoil periods. Furthermore, the turmoil periods witnessed more diverged effects of macro news between carry trade target currencies and safe-haven currencies.

Keywords: US macro news, exchange rate, safe-haven currency, carry-trade target currency

JEL Classification: F31, G15

Suggested Citation

Wang, Wenhao and Lin, Zhitao and Hu, Bing, Macro News Effects on Exchange Rates: Difference between Carry Trade Target and Safe-haven Currencies (December 25, 2022). Available at SSRN: https://ssrn.com/abstract=4311697 or http://dx.doi.org/10.2139/ssrn.4311697

Wenhao Wang

Shandong University of Finance and Economics ( email )

China

Zhitao Lin (Contact Author)

Jinan University - School of Economics ( email )

Huang Pu Da Dao Xi 601, Tian He District
Guangzhou, Guangdong 510632
China

Bing Hu

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

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