The Impact of Macroeconomic News on the Euro-Dollar Exchange Rate

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: This paper studies the effect of macroeconomic "news" (market now-cast errors related to the flow of data releases on macroeconomic fundamentals) on the daily USD/EUR exchange rate. I consider a large number of real-time macroeconomic announcements from both the US and the euro-zone, and the related market expectations as reported by Bloomberg. For the euro-zone I also study country level announcements for the four biggest economies (Germany, France, Italy, Spain). The results for the whole sample (1999-2012) show that both the "news" associated with euro-zone releases and those associated with US ones have a significant impact on the USD/EUR exchange rate. However, the effect of the euro-zone "news" has become larger since the 2008 crisis and it is now more sizeable than that of the US "news".

Keywords: macroeconomic news; exchange rate; event studies; real-time data (search for similar items in EconPapers)
JEL-codes: E44 E47 F31 G14 (search for similar items in EconPapers)
Pages: 41 p.
Date: 2016-09
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-sog
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