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Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies

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  • Chan, Kam Fong
  • Chhagan, Mahesh
  • Marsden, Alastair

Abstract

The current study utilizes a comprehensive set of influential scheduled macroeconomic announcements released from various developed and emerging markets to investigate the speed and persistence of news impacts on major Asia-Pacific currencies sampled at high frequencies. A richly varied set of findings emerge. In general, we document that the responses to economic news released domestically and from the U.S. are rapid, and there is some evidence of persistency concerning U.S. economic news and news related to the China's purchasing manager index. The currency reactions to asymmetric economic news surprises and the states of the U.S. economy are heterogeneous. Finally, we show that macroeconomic announcements have contributed to the sudden increase in realized volatility and trading volumes of the currencies around the time of announcements.

Suggested Citation

  • Chan, Kam Fong & Chhagan, Mahesh & Marsden, Alastair, 2017. "Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 37-54.
    • Handle: RePEc:eee:pacfin:v:43:y:2017:i:c:p:37-54
    DOI: 10.1016/j.pacfin.2017.02.004
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    2. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.

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    More about this item

    Keywords

    Scheduled macroeconomic announcements; Foreign exchange rates; Speed of news impact; Persistence of news impact;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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