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The Short Run Impact of Scheduled Macroeconomic Announcements on the Australian Dollar during 1998, Discussion Paper No 82

Boulter, Terry & Tan, Celeste Ping Fern (2000) The Short Run Impact of Scheduled Macroeconomic Announcements on the Australian Dollar during 1998, Discussion Paper No 82. [Working Paper] (Unpublished)

Abstract

This study examines the high frequency reaction of the Australian Dollar (AUD) to new information contained in scheduled macroeconomic news releases in Australia for 1998 using Money Market Services trader expectations data. By using exchange rate data sampled at 10-second intervals, major price adjustments are found to begin almost immediately following the initial release of information and are complete within one minute of the announcement. There is some evidence of over-reaction after the initial release but returns in the first minute do not seem to have any meaningful structure that would enable prediction of returns in the second minute. The AUD appears to trade efficiently and the market absorbs new information quickly.

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ID Code: 572
Item Type: Working Paper
Additional URLs:
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2000 (Please consult author)
Deposited On: 11 Nov 2004
Last Modified: 02 Feb 2012 19:44

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