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The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates

Akhtar, Shumi; Faff, Robert; Oliver, Barry

Description

We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However, we observe an asymmetric effect - when a lower than previous month CSI is announced, the Australian dollar experiences a significant depreciation on the announcement day, but there is no matching...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/39515
Source: Australian Journal of Management
DOI: 10.1177/0312896211410723

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