For the FX Traders - A Watch List of Currency-Announcement Pairs

It is not news that news moves financial markets. This blog will publish research on how, when, why, and which news moves what financial markets.

Today I thought all the forex traders who read this blog might be interested in which FX rates move the most to which announcements.

The top 20 effects for foreign exchange rates (ranked by the statistically significant news effects –measured by the absolute value of the t-statistic) are given below:

FX Rate	Announce-ment
EUR	NFP
CHF	NFP
CAD	NFP
JPY	ITB
GBP	NFP
JPY	NFP
AUD	NFP
CHF	ITB
EUR	ITB
CAD	GDP
GBP	ITB
AUD	ITB
CAD	ITB
JPY	HICP
EUR	HICP
JPY	RSX
CAD	IJC
CHF	RSX
CHF	IJC
JPY	GDP

The releases are as follows:

Announcements	Source	Frequency	Units	Release Time (Zone)
GDP (Advance Release)	BEA	Quarterly	% change qoq2	8:30am (ET)
Initial Jobless Claims (IJC)	ETA	Weekly	Thousands	8:30am (ET)
Non-farm Payrolls (NFP)	BLS	Monthly	Change in thousands	8:30am (ET)
Retail Sales Excluding Automobiles (RSX)	Census	Monthly	% change mom	8:30am (ET)
International Trade Balance (ITB)	BEA	Monthly	$ billion	8:30am (ET)
Harmonized Indices of Consumer Prices (HICP)	ES	Monthly	Index	11:00am (CET)
Manufacturing PMI (ISM)	ISM	Monthly	Change in the index	10:00am (ET)
1: Acronyms are as follows: BEA (U.S. Department of Commerce Bureau of Economic Analysis), BLS (U.S. Department of Labor Bureau of Labor Statistics), Census (U.S. Census Bureau), ETA (U.S. Department of Labor Employment & Training Administration), ISM (Institute for Supply Management), PMI used to be an acronym for Purchasing Managers’ Index, ES (European Union Eurostat), CET (Central European Time), ET (Eastern Time)
2: Expressed at an annualized rate.

Here the news coefficients were standardized. I define standardized news (S) as the surprise divided the sample standard deviation of the news

Standardized news allows for comparisons of responses of different asset prices (here exchange rates) to different news.

A couple of comments on these results:

1. Non-farm payrolls (NFP) is a very important release for currencies.

2. The international trade balance (ITB) is also important.

3. The ISM Manufacturing PMI Index (ISM), which does not show up in this list, is still statistically significant for some currencies.

4. The combinations of: CHF/GDP; AUD/GDP; GBP/GDP; GBP/ISM; JPY/ISM; GBP/HICP; EUR/GDP are not statistically different from zero.