IDEAS home Printed from https://ideas.repec.org/p/fau/wpaper/wp2025_01.html
   My bibliography  Save this paper

How Do Event Studies Capture Impact of Macroeconomic News in Forex Market? A meta-Analysis

Author

Listed:
  • Kseniya Bortnikova

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Czech Republic)

  • Josef Bajzik

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Czech Republic & Anglo-American University, Prague, Czech Republic)

  • Evzen Kocenda

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Czech Republic)

Abstract

We perform a quantitative synthesis of 807 estimates of the effect of macroeconomic news announcements on exchange rates, as reported in 25 studies. Estimates are tested for publication selection using visual examination of funnel plots, linear asymmetry tests, and recent non-linear testing techniques. Our analysis reveals that after the inclusion of the moderator variables, publication bias has a moderate but statistically significant effect on the reported estimates, although it does not strongly influence their magnitude. The primary sources of heterogeneity are driven by economic conditions, particularly interest rate differentials and inflation regimes. Surprisingly, the type of macroeconomic announcement does not systematically affect the variation in estimated effects, indicating that differences in the nature of the announcements have little impact on the reported results.

Suggested Citation

  • Kseniya Bortnikova & Josef Bajzik & Evzen Kocenda, 2025. "How Do Event Studies Capture Impact of Macroeconomic News in Forex Market? A meta-Analysis," Working Papers IES 2025/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2025.
    • Handle: RePEc:fau:wpaper:wp2025_01
    as

    Download full text from publisher

    File URL: https://ies.fsv.cuni.cz/en/how-do-event-studies-capture-impact-macroeconomic-news-forex-market-meta-analysis
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    foreign exchange markets; macroeconomic announcements; event study; meta-analysis; publication bias;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:wpaper:wp2025_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.