Macroeconomic News and Exchange Rates: Evidence of Unstable Effect

Although the link between macroeconomic news announcements and exchange rates is well documented in recent literature, this connection may be unstable. By using a broad set of macroeconomic news announcements and high frequency forex data for the Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov 1, 2004 to Mar 31, 2014, we obtain two major findings with regards to this instability. First, many macroeconomic news announcements exhibit unstable effects with certain patterns in foreign exchange rates. These news effects may change in magnitude and even in their sign over time, over business cycles and crises within distinctive contexts. This finding is robust because the results are obtained by applying a Two-Regime Smooth Transition Regression Model, a Breakpoints Regression Model, and an Efficient Test of Parameter Instability which are all consistent with each other. Second, when we explore the source of this instability, we find that global risks and the reaction by central bank monetary policy to these risks to be possible factors causing this instability.

1967-1969 Brock Campus News

A compilation of the administration newspaper, Brock Campus News, for the years 1967 through 1969. It had previously been titled The Blue Badger.

1970-1979 Brock Campus News

A compilation of the administration newspaper, Brock Campus News, for the years 1970 through 1979. It had previously been titled The Blue Badger.

1980-1989 Brock Campus News

A compilation of the administration newspaper, Brock Campus News, for the years 1980 through 1989. It had previously been titled The Blue Badger.

1990-1995 Brock Campus News

A compilation of the administration newspaper, Brock Campus News, for the years 1990 through 1995. It had previously been titled The Blue Badger.

1995-1999 Brock News

A compilation of the administration newspaper, Brock News, for the years 1995 through 1999. It had previously been titled Brock Campus News and preceding that, The Blue Badger.

2000-2009 Brock News

A compilation of the administration newspaper, Brock News, for the years 2000 through 2009. It had previously been titled Brock Campus News and preceding that, The Blue Badger.

Draft News Release - Great Lakes Water Quality Agreement

A News Release draft to be sent to "100 newspapers, radio and television stations (virtually all those with offices within 20 miles of the Lakes), make them available to the Press Gallery, special interest groups, trade publication and Mayors etc. of Great Lake-side communities". The release discusses the need for an upgrade to "the 1972 Canada-U.S. Great Lakes Water Quality agreement". Within the document, O'Sullivan is quoted that the agreement "should be upgraded to become a treaty with the United States, so that after all the effort which has already been put into tyring to clean up the Great Lakes we the provision which provides for cancellation by either party giving twelve months (notice) to do so". The total report is 61 pages in length.

Hamilton-Wentworth News Article - "Polls Show O'Sullivan Leads"

A four page article about candidate Sean O'Sullivan in the Hamilton-Wentworth News.

Macroeconomic News Effects and Foreign Exchange Jumps

This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.

Macroeconomic News and LOB in Foreign Exchange ECN Market

We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.