This paper examines the effects of the announcement of different macroeconomic data on the forint/euro exchange rate and government securities yields. It focuses on establishing whether there is a significant correlation between the size or direction of exchange rate and yield movements and the announcement of macroeconomic data and their news value. The study is based on an analysis of the statistical characteristics of movements following the announcement of data as well as on regression calculations and hypothesis tests. The absolute magnitude of data published has only a slight effect on money markets, whereas the deviation of data from expectations and the surprise element of the information they carry have a significant impact. The reason for this is that expectations relating to new data and the information they provide are constantly being built into market prices and exchange rates. Thus, when the next announcement is made the exchange rate and yields are primarily moved by the surprise components of the data and the extent of surprise they cause. The main direction of the exchange rate and yield movements is determined by expectations on the general state of the economy, and is affected by publication of specific data only temporarily and to a small extent. A permanent shift usually only takes place when several pieces of data reinforce one another and often only following analysis and evaluation of such data, resulting in a time gap after announcement of the actual data. As a result in most cases, correlation between the announcement of macroeconomic data and market yields and the exchange rate can only be observed for a short period of time, as the effect of the announcement is priced out and the exchange rate and yields return to a level justified by the combined effect of other factors defining the economic environment. The forint/euro exchange rate reacts more sensitively than the average to new information related to the consumer price index, GDP growth and the current account balance. Exchange rate movements were explained by the unexpected component of new data in asignificant number of cases. Similarly, a close statistical correlation can be found between the news value of the above three types of data and yield movements. The announcement of new data has an especially significant effect on long-term yields. Publication of other types of data, however, shows no significant correlation with exchange rate and yield movements.