Department of Economics and Business Economics

The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility

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The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility. / Laakkonen, H.; Lanne, M.

In: International Journal of Finance and Economics, Vol. 18, No. 4, 01.10.2013, p. 339-351.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Laakkonen, H & Lanne, M 2013, 'The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility', International Journal of Finance and Economics, vol. 18, no. 4, pp. 339-351. https://doi.org/10.1002/ijfe.1467

APA

CBE

MLA

Vancouver

Laakkonen H, Lanne M. The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility. International Journal of Finance and Economics. 2013 Oct 1;18(4):339-351. https://doi.org/10.1002/ijfe.1467

Author

Laakkonen, H. ; Lanne, M. / The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility. In: International Journal of Finance and Economics. 2013 ; Vol. 18, No. 4. pp. 339-351.

Bibtex

@article{6e2afd06ad8a4750a94323392ca88346,
title = "The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility",
abstract = "We study whether the accuracy of news announcements matters for the impact of news on exchange rate volatility. We use high-frequency EUR/USD returns and releases of 20 US macroeconomic indicators and measure the precision of news in three different ways. When the precision is defined by the size of the first revision of the previous month's figure, we find that precise news increases volatility significantly more than imprecise news. Also, news on indicators that are in general more precise increase volatility more than news on typically imprecise indicators. Finally, we use real-time data to measure the 'true' precision of news and find that the size of the first revision of the previous month's figure is a reasonable signal of 'true' precision.",
author = "H. Laakkonen and M. Lanne",
year = "2013",
month = oct,
day = "1",
doi = "10.1002/ijfe.1467",
language = "English",
volume = "18",
pages = "339--351",
journal = "International Journal of Finance and Economics",
issn = "1076-9307",
publisher = "JohnWiley & Sons Ltd.",
number = "4",

}

RIS

TY - JOUR

T1 - The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility

AU - Laakkonen, H.

AU - Lanne, M.

PY - 2013/10/1

Y1 - 2013/10/1

N2 - We study whether the accuracy of news announcements matters for the impact of news on exchange rate volatility. We use high-frequency EUR/USD returns and releases of 20 US macroeconomic indicators and measure the precision of news in three different ways. When the precision is defined by the size of the first revision of the previous month's figure, we find that precise news increases volatility significantly more than imprecise news. Also, news on indicators that are in general more precise increase volatility more than news on typically imprecise indicators. Finally, we use real-time data to measure the 'true' precision of news and find that the size of the first revision of the previous month's figure is a reasonable signal of 'true' precision.

AB - We study whether the accuracy of news announcements matters for the impact of news on exchange rate volatility. We use high-frequency EUR/USD returns and releases of 20 US macroeconomic indicators and measure the precision of news in three different ways. When the precision is defined by the size of the first revision of the previous month's figure, we find that precise news increases volatility significantly more than imprecise news. Also, news on indicators that are in general more precise increase volatility more than news on typically imprecise indicators. Finally, we use real-time data to measure the 'true' precision of news and find that the size of the first revision of the previous month's figure is a reasonable signal of 'true' precision.

UR - http://www.scopus.com/inward/record.url?scp=84885897302&partnerID=8YFLogxK

U2 - 10.1002/ijfe.1467

DO - 10.1002/ijfe.1467

M3 - Journal article

AN - SCOPUS:84885897302

VL - 18

SP - 339

EP - 351

JO - International Journal of Finance and Economics

JF - International Journal of Finance and Economics

SN - 1076-9307

IS - 4

ER -