Exchange rates and fundamentals: new evidence from real-time data
Exchange rates and fundamentals: new evidence from real-time data
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DOI：
10.1016/j.jimonfin.2004.12.010
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发表时间：
2005-03-01
影响因子：
2.5
通讯作者：
Fratzscher, M
中科院分区：
文献类型：
--
作者：
Ehrmann, M;Fratzscher, M
本文通过考察实时数据的重要性，分析了经济基本面与汇率之间的联系。我们发现，在1993-2003年期间，美国、德国和欧元区的经济新闻一直是美元-欧元/DEM汇率每日发展的推动力。美国宏观经济新闻的重要性之所以更大，至少在一定程度上是因为它们的发布时间早于德国和欧元区的相应新闻。此外，在市场存在较大不确定性的时期以及出现负面或较大冲击时，汇率对消息的反应也更为强烈。总体而言，基于实时数据的模型解释了美元兑欧元汇率每月约75%的方向性变化，尽管它不能很好地解释汇率变化的幅度。(C)2004爱思唯尔有限公司。保留所有权利。
This paper analyses the link between economic fundamentals and exchange rates by investigating the importance of real-time data. We find that economic news in the United States, Germany and the euro area have been a driving force behind daily US dollar-euro/DEM exchange rate developments in the period 1993-2003. The larger importance of US macroeconomic news is at least partly explained by their earlier release time compared to corresponding German and euro area news. The exchange rate is also shown to respond more strongly to news in periods of large market uncertainty and when negative or large shocks occur. Overall, the model based on real-time data explains about 75% of the monthly directional changes of the US dollar-euro exchange rate, although it does not explain well the magnitude of the exchange rate changes. (c) 2004 Elsevier Ltd. All rights reserved.