What defines 'news' in foreign exchange markets?
By: Kathryn Dominguez, Freyan Panthaki.
Contributors: Panthaki, Freyan.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11769; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11769.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Foreign exchange rates -- Mathematical models.
Description: "This paper examines whether the traditional sets of macro surprises, that most of the literature considers, are the only sorts of news that can explain exchange rate movements.  We examine the intra-daily influence of a broad set of news reports, including variables which are not typically considered "fundamentals" in the context of standard models of exchange rate determination, and ask whether they too help predict exchange rate behavior.  We also examine whether "news" not only impacts exchange rates directly, but also influences exchange rates via order flow (signed trade volume).  Our results indicate that along with the standard fundamentals, both non-fundamental news and order flow matter, suggesting that future models of exchange rate determination ought to include all three types of explanatory variables"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.