Article citationsMore>>

Faust, J., Rogers, J. H., Wang, S. Y. B., & Wright, J. H. (2007). The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements. Journal of Monetary Economics, 54, 1051-1068.
https://doi.org/10.1016/j.jmoneco.2006.05.015

has been cited by the following article:

• TITLE: Country-Level Indicators and Foreign Exchange Returns

  AUTHORS: Hongwei Zhai

  KEYWORDS: Foreign Exchange, Global Macro, Return Forecasting, Portfolio Management, China, Japan, Brazil

  JOURNAL NAME: Modern Economy, Vol.14 No.11, November 22, 2023

  ABSTRACT: This study uses daily foreign exchange (FX) rate changes in China, Japan, and Brazil from 2000 to 2022 to examine the predictability of FX returns. I observe multiple Bloomberg signals with statistically significant return-forecasting power to the FX returns. These signals can be divided into three groups: macroeconomic, investor sentiment, and stock market related. This study adds to the empirical understanding of how country-level economic indicators can forecast FX returns.