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Vol. 93, No. 5 (Posted 2011-09-01)

A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps

by Christopher J. Neely

This is a condensed version of the original article.


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.

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