The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behavior
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1 The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behavior João Cruz William Pikul Beverly Johnson Lindsay Delmemico Khaled Alabdulghafour
2 Topic: The high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S.
3 Objectives: Utilize exchange rate data to investigate how macroeconomic releases impact the DEM/USD
4 Objectives: Improve upon previous work by using very high frequency data, allowing precise characterization of the reaction between exchange rate to macroeconomic information
5 Objectives: Show the difference in the time pattern of the reaction of the exchange rate to the US scheduled announcements vs. the German unscheduled announcements
6 Research History: (Ederington and Lee, 1995) (Harris and Zabka, 1996) (Hogan and Melvin, 1994) (Ito and Roley, 1987)
7 Research History: General result from these spot market studies is that few economic announcements have systematic impacts on exchange rates when rates are sampled at a frequency of a number of hours or more.
8 Data & Methodology: Exchange rate data covering 3 years: 92 to 94 Data sampled at a high (5 minute) frequency - DEM/USD quotations from Reuters - Converted from irregularly spaced to 5 min grid - Average of bid and ask
9 Data & Methodology: US/Germany macroeconomic announcements - Market expectation series by MMS International - Separation of expected vs unexpected
10 Data & Methodology: Adequacy of the MMS expectation series - against: Aggarwal, Mohanty and Song, in favor: Pearce and Roley, Test results support unbiased expectation data - In line with efficient markets theory
11 Data & Methodology: Novel approach - Most earlier work has used exchange rate data sampled at a frequency of a few hours - First study which includes German data releases
12 Econometric Model: Exchange Rate Simulation - Effect of macroeconomic news on the DEM/USD exchange rate
13
14 The Impact of News : - Do markets react systematically to good (and bad) news about the state of the economy?
15
16 t-test: H 0 :β = 0 H a :β 0 Critical value approach: Reject H 0 if: t -t α/2 or t t α/2
17 Critical Values: 95% Conf. level = % Conf. level = 1.70
18
19 Market Efficiency: - The efficiency of the DEM/USD market around the announcements.
20
21 How important is this News in the longer run?
22
23 Variance Ratios - The variance ratios computed compare the volatility over a given period post-release with the volatility over the same period on days on which no announcement was made.
24
25 Structural Stability - Consistency of Signs: of the coefficients across time
26
27 The Impact of News : - Do markets react systematically to good (and bad) news about the state of the economy? - The effect of Bundesbank meetings
28
29
30 Market Efficiency: - The efficiency of the DEM/USD market around the announcements.
31
32 How important is this News in the longer run?
33
34 Variance Ratios - The variance ratios computed compare the volatility over a given period post-release with the volatility over the same period on days on which no announcement was made.
35
36 Structural Stability - Consistency of Signs: of the coefficients across time
37
38 Policy: There is a strong, visible, quick impact effect of macroeconomic news, with the exchange rate reflecting the anticipated policy reaction by the monetary authorities to the piece of news just released The impact may be seen as quantitatively small
39 Policy: The overall effect of the macroeconomic news on the lower frequency, cumulative build-up of exchange rate fluctuations decays quite rapidly towards insignificance
40 Policy: The news from German announcements tend to be incorporated in the exchange rate more slowly than the news emanating from the US, due to differences in the timing arrangements - The maximum impact is reached after 15 minutes for the US announcements, but only after 3 hours for the German announcements.
41 Policy: The impact on the exchange rate is, on average, quantitatively smaller for the German announcements The effect of the German announcements depends on the proximity to the next Bundesbank council meeting
42 Thank You!
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