Arbeitspapier
Exchange rates and fundamentals: new evidence from real-time data
This paper analyses the link between economic fundamentals and exchange rates by investigating the importance of real-time data. We find that such economic news in the United States, Germany and the euro area have indeed been a driving force behind daily US dollar – euro/DEM exchange rate developments in the period 1993-2003. The larger importance of US macroeconomic news is at least partly explained by their earlier release time compared to corresponding German and euro area news. The exchange rate is also shown to respond more strongly to news in periods of large market uncertainty and when negative or large shocks occur. Overall, the model based on real-time data is capable of explaining about 75% of the monthly directional changes of the US dollar-euro exchange rate, although it does not explain well the magnitude of the exchange rate changes.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 365
- Klassifikation
-
Wirtschaft
Foreign Exchange
International Policy Coordination and Transmission
Monetary Policy
- Thema
-
announcements
EMU
euro area
Exchange Rates
fundamentals
interdependence
news
real-time data
United States
US dollar euro
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ehrmann, Michael
Fratzscher, Marcel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Ehrmann, Michael
- Fratzscher, Marcel
- European Central Bank (ECB)
Entstanden
- 2004
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