Abstract
This study documents significant asymmetrical impact of information in trade balance announcements on prices of assets such as equities and foreign exchange rates. Interestingly, foreign exchange rates and equity prices were less responsive to large surprises in the trade balance but more responsive to surprises within one standard deviation of the average. This asymmetry in market reaction to trade balance news seems consistent with the asymmetric nature of central bank intervention policy commitments during the late 1980s. These results documenting the asymmetric impact of news on asset prices may have important implications for asset pricing models and economic policy formulation.
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