Short-term price moves

The study also analyzed the U.S. dollar index futures contract’s price moves in the 20 days before and 40 days after all current account reports to see if shorter- term patterns existed.

The analysis measured the gain or loss from the close 20, 15, 10, and five days before each announcement to the close on the day prior to its release, as well as the gain or loss from the close of the day prior to each report to the close five, 10, 15, 20, and 40 days after them. It shows the results for all 43 current account reports from June 21, 1994 to Dec. 16, 2004 and compares them to the average same-length price moves during this period. For example, “Day -5 to -1” represents the dollar’s average gain or loss from the fifth day before reports to the day before them; “Day -1 to 5” is the performance from the day before reports to the fifth day after them, and so on. “Day -1” and “Day 1” show the moves on the day before announcements and announcement day, respectively.

Overall, the U.S. dollar was flat or posted small average losses before current account releases, but then sank consistently in the following month — a pattern that reinforces statistics. The dollar traded sideways in the 20- and 15-day periods preceding announcement days, and then fell an average of 0.37 percent in the 10-day period before reports. The dollar pared its losses in the final pre announcement week before sliding 0.07 percent the day before reports.

The dollar declined an average 0.13 percent on announcement day and continued to drop in subsequent weeks, culminating in a 0.70-percent loss by day 20. By day 40, it recovered roughly half these losses.