Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce…
# Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
> OpenAlex Metadata Hub · https://openalex.org/W3123647737
## Bibliographic
- **DOI:** 10.1257/000282803321455151
- **Year:** 2003
- **Citations:** 1406
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.1257/000282803321455151
## Authors
- Torben G. Anderson
- Tim Bollerslev
- Francis X. Diebold
- Clara Vega
## Abstract
Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
## Keywords
Economics, Sign (mathematics), Exchange rate, Price discovery, Liberian dollar, Macro, Linkage (software), Econometrics, Foreign exchange, Foreign exchange market, Set (abstract data type), Monetary economics, Financial economics, Computer science, Futures contract, Finance
## Concepts
- Economics
- Sign (mathematics)
- Exchange rate
- Price discovery
- Liberian dollar
- Macro
- Linkage (software)
- Econometrics
- Foreign exchange
- Foreign exchange market
- Set (abstract data type)
- Monetary economics
- Financial economics
- Computer science
- Futures contract
- Finance
- Mathematical analysis
- Mathematics
- Programming language
- Gene
- Chemistry
- Biochemistry
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*Metadata only — full text not imported unless Open Access license permits.*
Bài “Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex.
Tóm lược học thuật (đã diễn giải): Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook.
Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S.
2. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals.
3. The details of the linkage are intriguing and include announcement timing and sign effects.
4. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
Trader nên nối luận điểm policy/lãi suất trong tài liệu với bias trung hạn của USD và các cặp major — đặc biệt quanh FOMC / dữ liệu CPI.
Với XAUUSD: kỳ vọng cắt lãi / USD yếu thường hỗ trợ vàng; hawkish surprise thường gây áp lực giảm — dùng khung này để đọc reaction sau tin, không đoán trước.
Áp dụng vào FX: theo dõi transmission từ theory (pricing, carry, balance-sheet) sang hành vi giá trên M15–H4 sau các event thanh khoản cao.
Góc Forex: đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Góc Gold (XAUUSD): đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Trading: rút 1 bias hoặc 1 setup hypothesis từ Key Takeaways, test trên demo/journal trước khi live.
Risk: chuyển insight thành rule (max risk/trade, pause quanh tin, correlation USD–vàng) và gắn vào playbook.
