SHARE   Share on Twitter Share on Facebook Email

A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps


This article reviews, evaluates, and links research that studies foreign exchange volatility reaction to macro announcements. Scheduled and unscheduled news typically raises volatility for about an hour and often causes price discontinuities or jumps.

NOTE: The table on pp. 368-369 was revised after publication.

Read Full Text

Recently Viewed Series

Subscribe to our newsletter for updates on published research, data news, and latest econ information.
Name:   Email:  
Twitter logo Google Plus logo Facebook logo YouTube logo LinkedIn logo