DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE
使用21个国家货币兑美元的高频10分钟汇率数据，发现恐怖袭击显著影响汇率回报，不同货币出现升值或贬值，部分存在反转或持续效应，且影响随时间减弱但持续。
This study examines whether terrorist attacks affect bilateral exchange rates. Using historical 10‐minute exchange rate data for 21 countries' currency vis‐à‐vis the U.S. dollar, we show that exchange rate returns of all countries are statistically significantly affected by terrorist attacks. Some exchange rates appreciate and some depreciate following a terrorist attack, some currencies experience exchange rate reversals while others experience a persistent effect. Generally, the effect declines but persists as terrorist attacks become stale information.