Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

By Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega. 2003

1,351 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/938703b7e8c18eb1e81dea654f19c64352b2dda3

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Citations in the corpus

Concepts of equilibrium exchange rates (2005, positive): “Andersen et al (2003) and Faust et al (2003) both find that the news component of macroeconomic announcements has an impact on the exchange rate in the immediate aftermath (measured in minutes) of the announcement.”
The Role of Central Bank Transparency for Guiding Private Sector Forecasts (2012, neutral): “Following the standard in the announcement literature (see, e.g., Andersen et al. 2003), we deduct the expectation of the announcement from the actual announcement value of the variable to get a measure of the surprise component, and standardize these surprises by their own, national, standard…”
Convergence and Anchoring of Yield Curves in the Euro Area (2008, neutral): “Andersen et al. (2003) and others have verified that these data pass standard tests of forecast rationality and provide a reasonable measure of ex ante expectations of the data release.”
Are Sticky Prices Costly? Evidence from the Stock Market (2016, positive): “(2001) show for bonds and Andersen et al. (2003) for exchange rates that announcement surprises are almost immediately incorporated into asset prices. Furthermore, Rigobon and Sack (2003) show that monetary policy is systematically influenced by movements in financial markets within a month. In shor”
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, neutral): “…a number of authors have recently analysed the high-frequency reaction of foreign exchange markets to news announcements more generally, and this work reveals that markets do react very quickly: most price reaction to scheduled news is in the form of an immediate jump (Andersen et al., 2003).”
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2010, neutral): “For further details, see Table A2 in the supplementary appendix. analyzed on the basis of intra-day data rather than the traditional daily return series (see, e.g., Andersen et al., 2003b).”
What Explains Global Exchange Rate Movements during the Financial Crisis (2009, neutral): “Andersen et al. (2003), Ehrmann and Fratzscher (2005a), and Fratzscher (2008) provide a detailed account of the construction and validity of these data.”
News shocks and business cycles (2011, neutral): “While several of these series appear to be I(1), estimating the system in”
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries (2019, neutral): “Second, FX markets incorporate fundamental news quickly (Andersen et al., 2003), and in the long-run they are anchored to fundamentals (Mark and Sul, 2001; Engel et al., 2008), which raises the question of what central banks can convey beyond available knowledge.”
Weather, storage, and natural gas price dynamics: Fundamentals and volatility (2007, neutral): “Second, just as the release of macroeconomic news will create uncertainty in financial markets (Ederington and Lee, (1993); Anderson et al. (2003) ), the release of the weekly natural gas storage report may generate uncertainty in this market.”