Currency futures, news releases, and uncertainty resolution |
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| Authors: | Rohan Christie-David Mukesh Chaudhry |
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| Affiliation: | 1. Department of Economics, Finance, and International Business, College of Business Administration, University of Southern Mississippi, Hattiesburg, MS 39406, USA;2. Department of Finance and Economics, School of Business and Economics, Marshall University, Huntington, WV 25755, USA;1. Department of Neurology, Chi Mei Medical Center, 901 Chung-Hwa Road, Yong kang, Tainan, Taiwan;2. Department of Food Science and Applied Biotechnology, National Chung-Hsing University, 250 Kuo-Kuang Road, Taichung 402, Taiwan;3. Center for General Education, Southern Taiwan University of Science and Technology, 1 Nan-Tai Street, Yong kang, Tainan, Taiwan;4. Department of Anesthesiology, Chi Mei Medical Center, Tainan, Taiwan;5. Da-An Women and Children Hospital, Tainan, Taiwan;6. Department of the Senior Citizen Service Management, Chia Nan University of Pharmacy and Science, Tainan, Taiwan;7. Department of Medical Research, Chi Mei Medical Center, Tainan, Taiwan;1. Laboratory of Bacteriology, The Rockefeller University, New York, NY 10065, USA;1. Department of Biological Sciences, Purdue University, West Lafayette, IN, USA;2. Department of Chemistry, Purdue University, West Lafayette, IN, USA;3. Centers for Cancer Research & Drug Discovery, Purdue University, West Lafayette, IN, USA;4. Department of Pharmacology, Vanderbilt University Medical Center, Nashville, TN, USA;5. Department of Chemistry, Vanderbilt University Medical Center, Nashville, TN, USA;1. Tufts Medical Center, Boston, MA, USA;2. Boston Medical Center and Boston University School of Medicine, Boston, MA, USA;3. Wellesley Public Schools, Wellesley, MA, USA;4. Wellesley School Committee, Wellesley, MA, USA;5. Broad Institute, Cambridge, MA, USA;6. COVID-19 Response Advisors, Washington, DC, USA;7. University of Massachusetts Medical School, Worcester, MA, USA;8. Wellesley Education Foundation, Wellesley, MA, USA;9. Wellesley Board of Health, Wellesley, MA, USA;10. Medical Practice Evaluation Center and Division of Infectious Diseases, Massachusetts General Hospital and Harvard Medical School, Boston, MA, USA |
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| Abstract: | The effects of domestic macroeconomic news releases on futures on the British Pound (BP), Canadian Dollar (CD), Deutsche Mark (DM), Japanese Yen (JY), and Swiss Franc (SF) are examined. The results show that all five futures respond to the release of macroeconomic news, especially the first set of news releases issued at 7:30 a.m. (CST). Results of tests that identify the effects of individual announcements suggest that news in the Employment Report, the Trade Deficit, Industrial Production, and Capacity Utilization affects all five futures. Other announcements do not have such widespread effects. Volatility increases following the announcements persist for some time. Such increases are not uniform across the five instruments. For instance, following the 7:30-a.m. announcements, for the JY, BP, and SF, higher variance is observed for 30 min. However, for the DM and CD, the increase is 45 and 15 min, respectively. |
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| Keywords: | Macroeconomic news Currency futures Volatility |
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