The high-frequency response of exchange rates to monetary policy actions and statements

The Evolution of Federal Reserve Policy and the Impact of Monetary Policy Surprises on Asset Prices

“…Rosa (2011a,c) attempts to identify the second factor using a "narrative" approach in which he first summarizes the tone of each FOMC meeting statement about the future direction of monetary policy and then approximates the unexpected components of the statement by estimating forecasting regressions. Both the surprise component of policy decisions and the statement's tone significantly influence stock prices (Rosa, 2011a) and dollar exchange rates (Rosa, 2011c). The surprise component of the statements accounts for most of monetary policy's effect on asset returns.…”

The Sensitivity of the U.S. Dollar Exchange Rate to Changes in Monetary Policy Expectations

“…(2016), Glick andLeduc (2013, 2015), Hausman and Wongswan (2011), Kearns and Manners (2006), Rogers et al (2015), and Rosa (2011).…”

Intraday jumps and US macroeconomic news announcements

“…The relationships between macroeconomic fundamentals and financial markets have been analysed for many years, especially with the recent availability of high frequency data (see Andersen and Bollerslev, 1998;Andersen et al, 2003Andersen et al, , 2007b. Interesting recent investigations have focussed and the effect of news announcements on price discovery in the foreign exchange market (Chen and Gau, 2010) and the high frequency effects of monetary policy announcements (Chuliá et al, 2010;Rosa, 2011;Hussain, 2011) Given the strong evidence for the presence of jumps in financial markets and the extreme reactions in financial markets to macroeconomic news announcements, this paper merges these literatures by investigating the extent to which macroeconomic announcement surprises coincide with statistically significant intraday jumps. The existing evidence detects multiple intraday jumps, but investigates stock markets that are closed at the times of scheduled macroeconomic data announcements.…”