Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
利用六年实时汇率报价、宏观预期和实现数据，发现公告意外导致条件均值跳跃，且坏消息比好消息影响更大，揭示了高频汇率与基本面的联系。
Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.