Review of Financial Studies, 6 (1991): 543-569
Campbell R. Harvey
University of Chicago
Roger D. Huang
Using transactions data on the foreign currency futures contracts traded on the Chicago Mercantile Exchange and the London International Financial Futures Exchange, we examine the role of U.S. macroeconomic news disclosures in affecting the volatility of global exchange rates. We find that news eminating from the U.S. induces higher U.S.-European and U.S.-Japanese exchange rate volatilities during U.S. trading hours. Cross-European exchange rate volatilities are highest during London trading hours but are still heavily influenced by the release of U.S. public information. We also uncover inter and intraday volatility patterns that appear to be driven by the timing of U.S. macroeconomic announcements.