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Macroeconomic News ‘Surprises’ and the Rand/Dollar Exchange Rate

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  • Johannes W. Fedderke
  • Philippe Flamand
Abstract
Economic theory in the context of floating exchange rates has focussed on underlying medium and long term direction of exchange rate movements. Daily volatility is less well understood. One theory that offers an explanation for short term exchange rate movements is that of the efficient market hypothesis or EMH. Its application to the forex market […]

Suggested Citation

  • Johannes W. Fedderke & Philippe Flamand, 2005. "Macroeconomic News ‘Surprises’ and the Rand/Dollar Exchange Rate," Working Papers 018, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:018
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    References listed on IDEAS

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    1. Ito, Takatoshi & Roley, V. Vance, 1987. "News from the U.S. and Japan : Which moves the yen/dollar exchange rate?," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 255-277, March.
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