TY  - JOUR
AU  - Dominguez,Kathryn
AU  - Panthaki,Freyan
TI  - What Defines "News" in Foreign Exchange Markets?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11769
PY  - 2005
Y2  - November 2005
UR  - http://www.nber.org/papers/w11769
L1  - http://www.nber.org/papers/w11769.pdf
N1  - Author contact info:
Kathryn M.E. Dominguez
University of Michigan
Department of Economics and Ford School
Weill Hall
735 South State Street
Ann Arbor, MI 48109
Tel: 734-764-9498
Fax: 734-763-9181
E-Mail: kathrynd@umich.edu

Freyan Panthaki
Financial Markets Group
London School of Economics
Houghton Street
London WC2A 2AE
United Kingdom
E-Mail: freyanp@hotmail.com
AB  - 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.
ER  -