Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan

We investigate the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We show that news surprises from Japan are as influential as those from the U.S. in moving 5-minute JPY/USD exchange rate returns and, therefore, focusing on U.S. news while disregarding foreign news misses half the story. Our results also show that distinguishing between positive and negative news surprises and the state of the Japanese business cycle is important in understanding the link between exchange rates and news.Foreign Exchange Rates; Intraday Data; Macroeconomic News Effects

Domestic or U.S. News: What Drives Canadian Financial Markets?

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, central bank communication and macro news from both countries have an impact on Canadian financial markets. Second, Canadian central bank communication is more relevant than its U.S. counterpart, whereas in the case of macro news, that originating from the United States dominates. Third, we find evidence that the impact of Canadian news reaches its maximum when the Canadian target rate departs from the Federal Funds target rate (2002–2004) and thereafter. The introduction of fixed announcement dates (FAD) initially does not cause a noticeable break in the data. Finally, Canadian and U.S. target rate changes lead to higher price volatility, and so does other U.S. news. Other Canadian news, however, lowers price volatility.Bank of Canada, Central Bank Communication, Federal Reserve Bank, Financial Markets, Macroeconomic News, Monetary Policy

Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction

Using a GARCH model, we study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock, and foreign exchange markets over the period January 1998 to July 2007. We show, first, that both types of news have a significant impact on all markets. Second, there are noticeable differences in reaction for different subsamples: Argentine money markets were more dependent on U.S. news under the currency board than after it was abandoned as the floating exchange rate partly absorbs spillover effects from the United States. Finally, we find that U.S.-dollar-denominated assets react less to U.S. news than peso-denominated assets, which suggests that the currency board was not completely credible during its final years.Argentina, Financial Markets, Monetary Policy, Federal Reserve Bank, Central Bank Communication, Macroeconomic Announcements

Quantitative law describing market dynamics before and after interest-rate change

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest rate change at time T, and find power-law decay which scales as n(t-T) (t-T)^-$\Omega$, with $\Omega$ positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of "pre-shocks" before the interest rate change at time T. This is the first study to quantitatively relate the size of the market response to the news which caused the shock and to uncover the presence of quantifiable preshocks. We demonstrate that the news associated with interest rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U. S. Treasury Bill and the Federal Funds Effective rate. Our results are consistent with the "sign effect," in which "bad news" has a larger impact than "good news." Furthermore, we observe significant volatility aftershocks, confirming a "market underreaction" that lasts at least 1 trading day.Comment: 16 pages (2-column), 9 Figures, 1 Table; Changes in final version made in response to referee comment

Real-time price discovery in stock, bond and foreign exchange markets

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding helps explain the time-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects. JEL Klassifikation: F3, F4, G1, C

The Demographics of Mobile News Habits Men, College Grads and the Young are more Engaged

In the growing realm of mobile news, men and the more highly educated emerge as more engaged news consumers, according to this new study by the Pew Research Center's Project for Excellence in Journalism, in collaboration with The Economist Group. These findings parallel, for the most part, demographic patterns of general news consumption. But there are some important areas of difference between mobile and general news habits -- particularly among young people. While they are much lighter news consumers generally and have largely abandoned the print news product, young people get news on mobile devices to similar degrees as older users. And, when getting news through apps, young people say they prefer a print-like experience over one with high-tech or multi-media features.These are key findings of an analysis of mobile news habits across a variety of demographic groups. This report builds off an earlier PEJ and The Economist Group report, The Future of Mobile News, which found that half of U.S. adults now own mobile devices and a majority use them for news. Both reports are based on a survey of 9,513 U.S. adults conducted from June-August 2012 (including 4,638 mobile device owners). Men, especially young men, are heavier mobile news consumers than women. More than 40% of men get news daily on either their smartphone and/or tablet, compared with roughly 30% of women. On the tablet specifically, men check in for news more frequently and are more apt to read in-depth news articles and to watch news videos. Women, on the other hand, are more likely than men to use social networks as a way to get news