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Vol. 92, No. 5
Posted 2010-09-01

A Survey of Announcement Effects on Foreign Exchange Returns

by Christopher J. Neely and S. Rubun Dey

Researchers have long studied the reaction of foreign exchange returns to macroeconomic announcements in order to infer changes in policy reaction functions and foreign exchange micro­structure, including the speed of market reaction to news and how order flow helps impound public and private information into prices. 

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