Impact of economic data surprises on exchange rates in the inter-dealer market

James, Jessica; Kasikov, Kristjan

doi:10.1080/14697680701446195

Cited by 13 publications

(6 citation statements)

References 6 publications

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“…4 Citigroup's surprise indexes are calculated using a set of country-specific surprises in key economic indicators and their impact on each country's exchange rate with respect to the U.S. dollar. The weight of each indicator's surprise is calculated according to "relevance to markets," defined as the immediate impact (using 30-minute windows around the release of each indicator) on exchange rates as described in detail in James and Kasikov (2008). EME sovereign yields followed U.S. sovereign yields on the way down after the first LSAP announcement in November 2008.…”

Section: Data and Summary Statisticsmentioning

confidence: 99%

U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

Bowman¹,

Londoño²,

Sapriza³

2014

internationalfinance

103

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We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specific characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's time-varying vulnerability to U.S. interest rates affected by monetary policy shocks.

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Section: Data and Summary Statisticsmentioning

confidence: 99%

U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

Bowman¹,

Londoño²,

Sapriza³

2014

internationalfinance

103

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“…For instance, U.S. releases affect EUR/USD more than European releases affect the same currency pair (see, for instance, James and Kasikov, 2008). We therefore concentrated on US releases for our study.…”

Section: Discussionmentioning

confidence: 99%

“…emerging market currencies as well as those of smaller economies such as New Zealand) are shown in some studies (see, for example, Kearns and Manners (2005)) to be influenced as much by their local news and announcements. James and Kasikov (2008), Kearns and Manners (2005), and Kuttner (2001) studied the effects of economic releases in foreign exchange markets and other asset classes. James and Kasikov (2008) conclude that U.S. data seem to affect major markets most consistently than other markets, while Japanese, European, and Swiss releases seem to matter least.…”

Section: Studies On the Effects Of Economic Releasesmentioning

confidence: 99%

“…James and Kasikov (2008), Kearns and Manners (2005), and Kuttner (2001) studied the effects of economic releases in foreign exchange markets and other asset classes. James and Kasikov (2008) conclude that U.S. data seem to affect major markets most consistently than other markets, while Japanese, European, and Swiss releases seem to matter least. Kasikov and Gladwin (2007) attempt to estimate market behavior given an upside surprise (i.e., an economic release which beats the market expectation) and down side surprise (i.e., an announcement which falls short of the market consensus), and claim slightly different coefficients in the linear regression for each set of surprise data.…”

Section: Studies On the Effects Of Economic Releasesmentioning

confidence: 99%

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Analysis of the intraday effects of economic releases on the currency market

Rezania

Rachev

Sun

et al. 2011

Journal of International Money and Finance

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Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after the releases. Moreover, we compare our results with the results of a poll that we conducted of economists and traders. Finally, we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly used in empirical studies, but also captures the market dynamics as accurately as a range estimator. Our approach has practical value in high-frequency algorithmic trading, as well as electronic market making.

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“…The Citi Economic Surprise Index, which is largely constructed from methodology proposed by James and Kasikov (2008), is one well-known attempt to gauge the strength or weakness of the economy based on data surprises. Citi's method assigns unconditional weights to different surprises and uses an exponential decay to discount older surprises.…”

Section: Using Data Surprises To Assess Changes In Economic Momentummentioning

confidence: 99%

A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth

Grover

Kliesen

McCracken

2016

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nalyzing the performance of the economy in real time is a challenge for those who must forecast important macroeconomic variables such as inflation or employment. A key aspect of this challenge is evaluating the incoming flow of information contained in economic announcements. Thus, if important economic data are stronger than forecasters and financial market participants expected, this information could be a signal to economic policymakers and others that the economy is strengthening. The opposite is true as well. This news signal is often called the unexpected, or "surprise," component of economic information flows (announcements). Many central banks and private forecasters have used these economic announcements to develop methods for forecasting the current-quarter's real gross domestic product (GDP) growth. Because these processes track the evolution of the economy's performance in real time ("now"), they are sometimes called "nowcasts" or "tracking forecasts." There are several types of nowcast methodologies. 1 For instance, some economists and economic consulting firms use a GDP accounting approach based on key data releases such as Census Bureau reports on retail sales or construction spending. Many of these reports provide the underlying data-known as "source data"-used by the Bureau of Economic Analysis (BEA) to compile Analyzing the performance of the economy in real time is a challenge for those who must forecast macroeconomic variables such as inflation or employment. A key aspect of this challenge is evaluating the incoming flow of information contained in economic announcements. In this article, the authors develop a simple-to-read index of these announcements that they then use to construct nowcasts. The index tracks whether key economic data have come in stronger, weaker, or as expected during the current quarter relative to a baseline consensus forecast. Specifically, the data releases are weighted relative to their importance in updating forecasts of real gross domestic product growth during the current quarter. (JEL C22, C53, E37)

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Impact of economic data surprises on exchange rates in the inter-dealer market

Cited by 13 publications

References 6 publications

U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

Analysis of the intraday effects of economic releases on the currency market

A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth

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