| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9433 |
| 来源ID | Working Paper 9433 |
| How is Macro News Transmitted to Exchange Rates? | |
| Martin D. D. Evans; Richard K. Lyons | |
| 发表日期 | 2003-01-13 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w9433 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567052 |
| 推荐引用方式 GB/T 7714 | Martin D. D. Evans,Richard K. Lyons. How is Macro News Transmitted to Exchange Rates?. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9433.pdf（444KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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