On the shoulders of others: What others have said about the Announcement Effect (References)

Here are the full references for the two posts that bracket this one:

Balduzzi, P., Elton, E.J., Green, T.C., (2001) “Economic News and Bond Prices: Evidence from the U.S. Treasury Market”, Journal of Financial and Quantitative Analysis, Vol. 36, pp.523-543.

Baumohl, Bernard, (2004) The Secrets of Economic Indicators: Hidden Clues to Future Economic Trends and Investment Opportunities, Wharton School Publishing.

Fair, R., (2003) “Shock Effects on Stocks, Bonds and Exchange Rates”, Journal of International Money and Finance, Vol. 22, pp.307-341.

Faust, Jon, Rogers, John H., Wang, Shing-Yi B., Wright, Jonathan H., (2003) “The high-frequency response of exchange rates and interest rates to macroeconomic announcements” U.S. Board of Governors of the Federal Reserve System, International Finance Discussion Papers, number 784.

Federal Reserve Board of San Francisco, (2006) “New Uses for New Macro Derivatives” FRBSF Economic Letter, 2006-21; August 25.

Goodhart, C.A.E., Hall, S.G., Henry S.G.B. and Pesaran, B.. (1993) “News Effects in a High-Frequency Model of the Sterling-Dollar Exchange Rate,” Journal of Applied Econometrics, Vol. 7, pp. 199-211.

Gürkaynak, Refet S., Wolfers, Justin, (2006) “Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk” NBER Working Paper Series, NBER Working Paper 11929, January 2006.

Kim, Suk-Joong, Sheen, Jeffrey, (2001) “Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information” Journal of Multinational Financial Management, Vol. 11, pp. 117-137.

Parker, John C., Li, Huirong (CoCo), “How Bad is Bad News; How Good is Good News?” unpublished research paper available from the author (john.parker@relevanteconomics.com) upon request.