Currency Exchange Rates: Micro Effects Of Macro Announcements

Bad news in "Good times" should have an unusually large effect on exchange rates and their volatility. Analyst forecast dispersion is indeed greater following bad news about key economic indicators, reflecting increased uncertainty about the economy. A focus on foreign exchange markets, as opposed to stock or bond markets; a focus on the exchange rates themselves, as opposed to their volatility, and hence on the direction of the change rather than simply on its size; and use of a new data set encompassing a long time period and a broad set of exchange rates and macroeconomic indicators.