High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature

[1]  O. Issing Asset Prices and Monetary Policy , 2009 .

[2]  Paolo Vitale,et al.  A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates , 2001 .

[3]  Martin D.D. Evans,et al.  Time-Varying Liquidity in Foreign Exchange , 2002 .

[4]  Martin D. D. Evans,et al.  Informational integration and FX trading , 2002 .

[5]  Clara Vega,et al.  Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market: Rise of the Machines , 2014 .

[6]  Y. Shin,et al.  Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics , 2011 .

[7]  Michael Ehrmann,et al.  Exchange Rates and Fundamentals: New Evidence from Real-Time Data , 2004 .

[8]  Richard K. Lyons,et al.  Do Currency Markets Absorb News Quickly? , 2005 .

[9]  Francis X. Diebold,et al.  Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets , 2006 .

[10]  Suk-Joong Kim,et al.  Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information , 2001 .

[11]  Lukas Menkhoff,et al.  High-Frequency Analysis of Foreign Exchange Interventions: What Do We Learn? , 2008, SSRN Electronic Journal.

[12]  Carlo Rosa The high-frequency response of exchange rates to monetary policy actions and statements , 2011 .

[13]  Richard Payne,et al.  The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior , 1998, Journal of Financial and Quantitative Analysis.

[14]  Barry Scholnick,et al.  Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter? , 2005 .

[15]  Pierre Giot,et al.  News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market , 2003 .

[16]  R. Rigobón,et al.  Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices , 2006 .

[17]  Erik Hjalmarsson,et al.  What Drives Volatility Persistence in the Foreign Exchange Market , 2006 .

[18]  Thomas Nitschka,et al.  Foreign Currency Returns and Systematic Risks , 2015 .

[19]  Vladyslav Sushko,et al.  Impact of Macroeconomic Surprises on Carry Trade Activity , 2011 .

[20]  Christopher J. Neely,et al.  Jumps, Cojumps and Macro Announcements , 2009 .

[21]  Jonathan H. Wright,et al.  Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data , 2005 .

[22]  Marcel Fratzscher What Explains Global Exchange Rate Movements during the Financial Crisis , 2009, SSRN Electronic Journal.

[23]  M. Hutchison,et al.  Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates , 2010 .

[24]  Jonathan H. Wright,et al.  The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements , 2003 .

[25]  Francis X. Diebold,et al.  Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange , 2002 .

[26]  Kathryn M. E. Dominguez The Market Microstructure of Central Bank Intervention , 1997 .

[27]  F. Cai,et al.  The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets , 2009 .

[28]  Yu-Lun Chen,et al.  News announcements and price discovery in foreign exchange spot and futures markets , 2010 .

[29]  Dagfinn Rime,et al.  Exchange Rate Forecasting, Order Flow and Macroeconomic Information , 2009 .