This study examines the response of exchange rate of Thai Baht vis -a - vis U.S. dollar to macroeconomic news of U.S. and Thailand during thefloating exchange period from July 1997 to October 2000. Compared toprevious studies, this study attempts, for the first time, to include thenews from U.S. macroeconomic data into the news model of exchange ratedetermination. The news is associated with the unexpected component of themonthly release of five U.S macroeconomic variables and five Thailandmacroeconomic variables. The main objective of this study is to investigatewhether an exchange rate response to the economic news when the releaseddata are announced in the market. This study would also provide a betterunderstanding on the exchange rate determination related to themacroeconomic news to investors, exporters, and importers. For U.S. news, the results suggest that the baht/dollar exchange ratedoes react to positive unemployment news in the monthly model and react tosmall industrial production index news in daily model. For Thailand,Producer Price Index (PPI) and Private Consumptions (PC) have an impact onan exchange rate movement in daily model while positive Consumer PriceIndex (CPI) and small Manufacturing Production Index news affect exchangerate in the monthly model. This study supports the hypothesis that macroeconomic "news" doeshave an impact to an exchange rate. However, the impact might be seen asquantitatively small. As a result, this study can actively facilitateeconomic agents on how to rationally select which news information thatyields the most impact on the baht/dollar exchange rate movement.