Name: International Finance Discussion Papers: The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global I (en Inglés)
Price: 24.99 USD
Availability: InStock
Author: Chaboud, Alain P. ; United States Federal Reserve Board ; Et Al
ISBN: 9781288728138

portada International Finance Discussion Papers: The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global I (en Inglés)

Formato

Libro Físico

Autor

United States Federal Reserve Board

Alain P. Chaboud

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6 x 18.9 x 0.3 cm

Peso

0.10 kg.

ISBN13

9781288728138

Categorías

Política y gobierno

International Finance Discussion Papers: The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global I (en Inglés)

United States Federal Reserve Board (Autor) · Alain P. Chaboud (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "International Finance Discussion Papers: The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global I (en Inglés)"

We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that have been used in most previous high frequency foreign exchange analysis. We describe intraday volume and volatility patterns in euro-dollar and dollar-yen trading. We study the effects of scheduled U.S. macroeconomic data releases, first confirming the finding of recent literature that the conditional mean of the exchange rate responds very quickly to the unexpected component of data releases. We next study the effects of data releases on trading volumes. News releases cause volume to rise, and to remain elevated for a longer period. However, in contrast to the result for the level of the exchange rate, even if the data release is entirely in line with expectations, we find that there is still typically a large pickup in trading volume.