This paper investigates the sensitivity of emerging market exchange rates to macroeconomic news from both the U.S. and domestic economies. The study employs a high-frequency database covering nine emerging markets from 2000 to 2006 to analyze the impact of U.S. and domestic macroeconomic announcements on exchange rate returns and volatilities. Key findings indicate that major U.S. macroeconomic news significantly influence these exchange rates, while many domestic news items have a lesser effect. The research also reveals an increasing sensitivity of emerging market currencies to U.S. news over time and explores the moderating roles of market sentiment and uncertainty.

The analysis presented in this paper offers a detailed examination of how macroeconomic news influences emerging market foreign exchange rates. The findings suggest a significant impact from U.S. economic announcements, with a notable trend of increasing sensitivity in recent years. The study also highlights the complex interplay of market sentiment and uncertainty in shaping these currency movements. This research provides valuable insights for understanding the dynamics of foreign exchange markets in developing economies.