caa a22 4500 388047569 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199809 xx s 000 0 eng 10.2307/2331101 doi S0022109000000995 pii (NATIONALLICENCE)cambridge-10.2307/2331101 The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior [Elektronische Daten] This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. By using data sampled at a five-minute frequency, we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post-announcement, although the significance of these effects decreases rapidly as the interval over which the post-announcement change in exchange rates is increased. The direction of the exchange rate response conforms, in general, with a reaction function interpretation whereby reactions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets. Further, we detect influences of German monetary policy decisions on the reaction of the exchange rate, and also differences between U.S. and German announcements in the exchange rate reaction time pattern. Copyright © School of Business Administration, University of Washington 1998 Almeida Alvaro Financial Markets Group, London School of Economics and CEMPRE, Faculdade de Economia do Porto Goodhart Charles Department of Economics and Financial Markets Group, London School of Economics Payne Richard Department of Accounting and Finance and Financial Markets Group, London School of Economics, Houghton Street, London WC2A 2AE, U.K. Journal of Financial and Quantitative Analysis Cambridge University Press 33/3(1998-09), 383-408 0022-1090 33:3<383 1998 33 JFQ https://doi.org/10.2307/2331101 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331101 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Almeida Alvaro Financial Markets Group, London School of Economics and CEMPRE, Faculdade de Economia do Porto NATIONALLICENCE 700 1- Goodhart Charles Department of Economics and Financial Markets Group, London School of Economics NATIONALLICENCE 700 1- Payne Richard Department of Accounting and Finance and Financial Markets Group, London School of Economics, Houghton Street, London WC2A 2AE, U.K NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/3(1998-09), 383-408 0022-1090 33:3<383 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence SWISSBIB 168874458 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge