The high-frequency response of exchange rates and interest rates to macroeconomic announcements-Reference-Cited by-同舟云学术

The high-frequency response of exchange rates and interest rates to macroeconomic announcements

Published:2007-05 Issue:4 Volume:54 Page:1051-1068
ISSN:0304-3932
Container-title:Journal of Monetary Economics
language:en
Short-container-title:Journal of Monetary Economics

Author:

Faust Jon,Rogers John H.,Wang Shing-Yi B.,Wright Jonathan H.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference49 articles.

1. The effects of macroeconomic news on high frequency exchange rate behavior;Almeida;Journal of Financial and Quantitative Analysis,1998

2. Alvarez, F., Atkeson, A., Kehoe, P., 2003. Time-varying risk, interest rates and exchange rates in general equilibrium. Federal Reserve Bank of Minneapolis Working Paper 627.

3. Micro effects of macro announcements: real-time price discovery in foreign exchange;Andersen;American Economic Review,2003

4. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets. Mimeo;Andersen,2003

5. Economic news and bond prices: evidence from the US treasury market;Balduzzi;Journal of Financial and Quantitative Analysis,2001

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