Trading activity and macroeconomic announcements in high-frequency exchange rate data

Journal of the European Economic Association

Volumn 6, Issue 2-3, 2008, Pages 589-596

  Chaboud, Alain P ^a   Chernenko, Sergey V ^b   Wright, Jonathan H ^a  

^a FEDERAL RESERVE BOARD   (United States)

^b HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 45849130613     PISSN: 15424766     EISSN: 15424774     Source Type: Journal    
DOI: 10.1162/JEEA.2008.6.2-3.589     Document Type: Article

References (5)

1. Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Clara Vega (2003). "Micro Effects of Macro Announcements: Real-time Price Discovery in Foreign Exchange." American Economic Review, 93, 38-62.
2. Bacchetta, Phillipe, and Eric Van Wincoop (2006). "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?" American Economic Review, 96, 552-576.
3. Chaboud, Alain P., Sergey V. Chernenko, and Jonathan H. Wright (2007). "Trading Activity and Exchange Rates in High-frequency EBS Data." International Finance Discussion Paper No. 904, Federal Reserve Board.
4. French, Kenneth, and Richard Roll (1986). "Stock Return Variance: The Arrival of Information and the Reaction of Traders." Journal of Financial Economics, 14, 71-100.
5. Pasquariello, Paolo, and Clara Vega (2007). "Informed and Strategic Order Flow in the Bond Markets." Review of Financial Studies, 20, 1975-2019.