The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior
使用5分钟频率的DEM/USD汇率数据，研究德国和美国宏观经济公告对汇率在公告后15分钟内的影响，发现多数公告有显著影响但效应快速衰减，且反应方向符合货币政策操作预期。
This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. By us? ing data sampled at a five-minute frequency, we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post-announcement, although the significance of these effects decreases rapidly as the interval over which the post-announcement change in exchange rates is increased. The direction of the exchange rate response conforms, in general, with a reaction function interpretation whereby reac? tions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets. Further, we detect influences of German monetary policy deci? sions on the reaction of the exchange rate, and also differences between U.S. and German announcements in the exchange rate reaction time pattern. I. Introduction This paper studies the high frequency reaction of the DEM/USD exchange rate to macroeconomic information emanating from Germany and the U.S. Specif? ically, we utilize exchange rate data covering the period 1/1/92 to 31/12/94, sam? pled at a five-minute frequency, to investigate how the major monthly macroe? conomic releases from these two countries impact the DEM/USD. The infor? mation contained in announcements over this three-year period is extracted via a set of market expectation series supplied by Money Market Services Interna? tional (MMS).1 Our analysis improves on previous work in this area in two main respects. First, our study is conducted using very high frequency data, whereas most earlier work has used exchange rate data sampled at a frequency of a number of hours or more. This allows us to construct a very precise characterization of