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dc.contributor.authorBen Omrane, Waliden_US
dc.contributor.authorSavaşer, Tanselien_US
dc.date.accessioned2018-04-12T10:54:41Z
dc.date.available2018-04-12T10:54:41Z
dc.date.issued2016en_US
dc.identifier.issn1042-4431
dc.identifier.urihttp://hdl.handle.net/11693/36825
dc.description.abstractWe examine an unusual episode in the behavior of the euro, pound and yen exchange rate markets when the dollar appreciated (depreciated) against the three major currencies, in response to unfavorable (favorable) US growth news during the global financial crisis. Contrary to the previous findings, we show that, for each currency pair, only a small subset (about a third) of the most significant macro news effects reversed sign, primarily announcements regarding consumption, credit, labor and housing markets. Our results reveal that announcement chronology within a month matters, in that specifically the earliest releases within an indicator category exhibit sign asymmetry.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of International Financial Markets, Institutions and Moneyen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.intfin.2016.07.002en_US
dc.subjectExchange ratesen_US
dc.subjectFinancial crisisen_US
dc.subjectHigh-frequency dataen_US
dc.subjectMacroeconomic newsen_US
dc.subjectUS dollaren_US
dc.titleThe sign switch effect of macroeconomic news in foreign exchange marketsen_US
dc.typeArticleen_US
dc.departmentFaculty of Business Administrationen_US
dc.citation.spage96en_US
dc.citation.epage114en_US
dc.citation.volumeNumber45en_US
dc.identifier.doi10.1016/j.intfin.2016.07.002en_US
dc.publisherElsevier Ltden_US


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