The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Parsimonious Modeling of Yield Curves

1987 • 2,902 citations

Monetary policy surprises and interest rates: Evidence from the Fed funds futures market

2001 • 1,699 citations

Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model

1999 • 1,023 citations

Testing for the Constancy of Parameters over Time

1989 • 827 citations

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

1999 • 717 citations

Stock Prices, News, and Business Conditions

1993 • 694 citations

Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s

1981 • 488 citations

Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

1983 • 467 citations

The Adjustment of Stock Prices to Information About Inflation

1981 • 367 citations

Monetary policy's role in exchange rate behavior

2003 • 326 citations

Global versus country-specific productivity shocks and the current account

1995 • 318 citations

Economic news, exchange rates and interest rates

1988 • 216 citations

The Reaction of Stock Prices to Unanticipated Changes in Money: A Note

1983 • 184 citations

Why interest rates react to money announcements

1984 • 180 citations

The Excess Sensitivity of Long-Term Interest Rates: Evidence and Implications for Macroeconomic Models

2003 • 114 citations

Shock effects on stocks, bonds, and exchange rates

2003 • 57 citations

Long-Term Behavior of Yield Curves

1988 • 45 citations

The Estimation of Stationary Stochastic Regression Parameters Reexamined

1972 • 42 citations

Trade deficit announcements, intervention, and the dollar

1989 • 23 citations

Testing for ‘news’ in foreign exchange markets

1984 • 14 citations