We proceed as follows. In section 2 we describe our high-frequency exchange rate and
macroeconomic expectations and announcements data. In section 3 we characterize the speed and pattern
of exchange rate adjustment to macroeconomic news, and we document, among other things, the sign
effects (i.e., a larger exchange rate response to bad than good news). In section 4 we relate the sign
effects to recent theories of information processing and price discovery. We conclude in section 5