Foreign exchange rates
By jointly modeling returns and volatilities, we find that unemployment news has no significant impact on U.S. stock market returns, but instead on stock market volatility. There is also a significantly positive relation between the long-term bond return and unemployment news during economic expansions, indicating that U.S. government bonds might be a hedge against unemployment news. Inflation news affects both stock and bond market returns negatively during expansions. Both unemployment and inflation news surprises also have more impact on volatility during economic recessions than during expansions.
Cakan, Esin, "The Business Cycle and Impacts of Economic News on Financial Markets" (2012). Economics & Business Analytics Faculty Publications. 2.
Cakan, E. (2012). The Business Cycle And Impacts Of Economic News On Financial Markets. Journal of Business & Economics Research, 10(6), 385-390. http://www.cluteinstitute.com/ojs/index.php/JBER/article/view/7029