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Macroeconomic News and Exchange Rates: Evidence of Unstable Effect
(Brock University, 2014-05-02)
Although the link between macroeconomic news announcements and exchange rates is well documented in recent literature, this connection may be unstable. By using a broad set of macroeconomic news announcements and high ...
Macroeconomic News Effects and Foreign Exchange Jumps
This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, ...