TY  - JOUR
AU  - Evans,Martin D. D.
AU  - Lyons,Richard K.
TI  - How is Macro News Transmitted to Exchange Rates?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9433
PY  - 2003
Y2  - January 2003
UR  - http://www.nber.org/papers/w9433
L1  - http://www.nber.org/papers/w9433.pdf
N1  - Author contact info:
Martin Evans
Department of Economics
Georgetown University
Washington, DC  20057
Tel: 202-687-1570
E-Mail: evansm1@georgetown.edu

Richard K. Lyons
460 Michigan Ave
Berkeley, CA 94707
Tel: 510-642-1059
Fax: 510-642-4700
E-Mail: lyons@haas.berkeley.edu
AB  - This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.
ER  -