Quarterly reports: 1994 to 2004

The analysis of quarterly current account reports spanned 43 quarters from the first quarter of 1994 to the third quarter of 2004. The current account carried a deficit throughout this entire period, increasing from the previous quarter 30 times, shrinking 12 times and remaining the same once.

It compares the average performances of the Fed’s U.S. dollar index to the U.S. dollar index futures contract during three time intervals: from the quarter’s start to the day before each announcement, from the day before each announcement to the quarter’s end, and the full quarter (51, 12, and 63 days, on average, respectively). Although the U.S. dollar index futures contract was more volatile than the Fed index (i.e., rising higher before the report and dropping more after it), both indices followed a clear pattern, climbing an average of at least0.23 percent before reports and dropping at least 0.46 percent from announcement day to the quarter’s end.

It also shows that the dollar’s sell-off following current account releases seems to have had a dramatic effect on average quarterly performance. While both indices posted solid average gains before these announcements, the dollar’s slide in the subsequent 12 days led to an average quarterly loss of at least 0.23 percent.

It compares both indices’ average and median values for each of the three periods. The table also shows the percentage of positive moves for each period (Pct. > 0), as well as the indices’ quarterly benchmarks, which are the average 60-day price moves over the past 10 years.

Both the Fed index’s and U.S. dollar index futures contract’s average and median moves are out of sync — the average moves are negative while the median moves are positive — for the full-quarter period, which suggests the dollar’s average move has been skewed lower by a few large losses. (For a more detailed explanation of these statistics, see “Average and median.”) The specific pre- and post announcement periods show consistent positive and negative returns, respectively (albeit of different magnitudes).