The Reaction of Exchange Rates and Interest Rates to News Releases
The Reaction of Exchange Rates and Interest Rates to News Releases
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汇率和利率对新闻发布的反应
DOI：
10.1002/(sici)1099-1158(199704)2:2
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发表时间：
1996
期刊：
影响因子：
--
通讯作者：
Hali J. Edison
中科院分区：
文献类型：
--
作者：
Hali J. Edison
本文研究了汇率和利率-美国和外国-对经济新闻的反应。这一消息与美国每月公布的六个宏观经济变量中的意外成分有关。结果表明，美元汇率系统性地对有关真实的经济活动的消息做出反应--非农就业人数意外增加10万人，导致汇率升值0.2%。一般来说，汇率不会对通货膨胀的消息做出系统性的反应。相比之下，美国利率对这两种消息都有反应，尽管反应仍然非常小，大约为1至2个基点。最后，日本利率会对美国真实的经济活动的消息做出系统性反应，但程度很小，而德国利率一般不会。版权所有@1997年由约翰威利父子有限公司保留所有权利。
This paper examines the response of exchange rates and interest rates--US and foreign--to economic news. The news is associated with the surprise component of the monthly release of six US macroeconomic variables. The results suggest that dollar exchange rates systematically react to news about real economic activity--a surprise of 100,000 on non-farm payroll employment leads to a 0.2% appreciation of the exchange rate. In general, exchange rates do not react systematically to news on inflation. In contrast, US interest rates respond to both types of news, although the response continues to be extremely small, of the order of 1 to 2 basis points. Finally, Japanese interest rates systematically react, but to a very minor extent, to news about US real economic activity, while German rates, in general, do not. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.