Abstract
Many financial and economic decisions are highly influenced by different macroeconomic
variables. This study examines the impact of US nonfarm payroll news on exchange rate
movements in selected emerging markets from 2011 to 2017, using regression analysis.
The study is motivated by the continuous debate of understanding the effects of
macroeconomic news on emerging foreign exchange markets. Before testing the
relationship, all variables were tested for stationarity using the ADF procedure and found
to be stationary on the first level difference and integrated into the order I(1).
Granger-causality and Johansen cointegration tests are used to test the relationship, the
findings suggest that there is no short (causal) but a long-run (cointegrating) relationship
between the exchange rates movements in selected emerging markets and the US
nonfarm payroll news. Also, based on the estimated VECM, the adjustment speed to
equilibrium indicates that the US NFP news has an impact on exchange rate movements.
Overall, the findings suggest that US nonfarm payroll news has an impact on exchange
rate movements in the selected emerging markets. The results of this study can be used
to implement appropriate policy measures to control variables that have a significant
impact on exchange rates which may lead to the control of volatility in foreign exchange
markets.
M.Com. (Investment Management)