TY  - JOUR
AU  - Andersen,Torben G.
AU  - Bollerslev,Tim
AU  - Diebold,Francis X.
AU  - Vega,Clara
TI  - Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8959
PY  - 2002
Y2  - May 2002
UR  - http://www.nber.org/papers/w8959
L1  - http://www.nber.org/papers/w8959.pdf
N1  - Author contact info:
Torben G. Andersen
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL  60208
Tel: 847/467-1285
Fax: 847/491-5719
E-Mail: t-andersen@kellogg.northwestern.edu

Tim Bollerslev
Department of Economics
Duke University
Box 90097
Durham, NC 27708-0097
Tel: 919/660-1846
Fax: 919/684-8974
E-Mail: boller@econ.duke.edu

Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Clara Vega
Federal Reserve Board
Division of International Finance
Washington, DC  20551
Tel: 202-452-2379
Fax: 202-263-4850
E-Mail: clara.vega@frb.gov
AB  - Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') produce conditional mean jumps; hence high-frequency exchange rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
ER  -