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Author: Helinä Laakkonen
Publisher:
ISBN: 9789513933678
Category :
Languages : en
Pages : 35
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Book Description
Author: Helinä Laakkonen
Publisher:
ISBN: 9789513933678
Category :
Languages : en
Pages : 35
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Book Description
Author: Helina Laakkonen
Publisher:
ISBN: 9789513936556
Category : Foreign exchange rates
Languages : en
Pages : 124
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Book Description
Author: Yike Sun
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This study utilizes the extended HAR models to investigate the asymmetric impacts of tariff news on the renminbi exchange rate volatility during the US-China trade war. My findings indicate that there is no significant asymmetry between the effects of good and bad tariff news. However, a distinct asymmetry is observed between the impacts of future and present tariff news, where the former significantly increases the volatility of the renminbi, while the latter exhibits minor and insignificant effects.
Author: Torben Gustav Andersen
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 54
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Book Description
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') produce conditional mean jumps; hence high-frequency exchange rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
Author: Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher:
ISBN: 9789291319626
Category : Banks and banking, Central
Languages : es
Pages : 0
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Book Description
Author: Helinä Laakkonen
Publisher:
ISBN: 9789524621700
Category : Foreign exchange rates
Languages : en
Pages : 41
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Book Description
Tiivistelmä: Makrouutisten vaikutus valuuttakurssin volatiliteettiin.
Author: Viet Hoang Nguyen
Publisher:
ISBN: 9780734042460
Category : Foreign exchange rates
Languages : en
Pages : 39
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Book Description
"We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily trading data for eight currency markets over a four-month period from 1 May to 31 August 1996, we find strong evidence of a nonlinear cointegrating relationship between exchange rates and (cumulative) order flows: The price impact of negative order flows (selling pressure) is overwhelmingly stronger than that of the positive ones (buying pressure). Through the dynamic multiplier analysis, we find two typical patterns of the price discovery process. The markets following overreactions tend to display a delayed overshooting and a volatile but faster adjustment towards equilibrium whereas the market following underreactions are generally characterized by a gradual but persistent adjustment. In our model, these heterogeneous adjustment patterns reflect different liquidity provisions associated with different market conditions following under- and overreactions. In addition, the larger is the mispricing, the faster is the overall adjustment speed, a finding consistent with Abreu and Brunnermeier (2002) and Cai et al. (2011). We also find that underreactions are followed mostly by positive feedback trading while overreactions are characterized by delayed overshooting in the short run but corrected by negative feedback trading at longer horizons, the finding is consistent with Barberis et al. (1998) who show that positive short-run autocorrelations (momentum) signal underreaction while negative long-run autocorrelations (reversal) signal overreaction."--Abstract.
Author: Andreas Grün
Publisher: Grin Publishing
ISBN: 9783656004080
Category :
Languages : en
Pages : 48
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Book Description
Seminar paper from the year 2007 in the subject Economics - Finance, grade: 1,0, Otto Beisheim School of Management Vallendar, course: Seminar in International Finance, language: English, abstract: The overall aim of this paper is first to review existing papers and based on this to conduct own research in the field of the effect of macroeconomic news in general and, more specific, ECB communication on exchange rates. Exchange rate communication is a special form of macroeconomic news that is issued by central banks. Existing research on the effect of this communication has lead to often diverging result that illustrate the high intensity and dynamics of the current academic debate with regard to this matter. On one hand evidence of a relatively high impact on the mean and volatility of currency markets is found (e.g. by Fratzscher (2004)) whereas others (e.g. Jansen, de Haan (2005)) do not chronicle statistically significant and persistent results. The difficulty of understanding the response of currency markets becomes even harder when the significance of the respective context of news e.g. day of the week effect is considered or asymmetric responses are taken into account. Among the group of central banks especially the European Central Bank has attracted high attention in academic research. Preceding studies generally create dummy variables to measure ECB communication. These variables are then by different methods regressed against the exchange rate or other financial assets in order to find explanatory relationships. This paper follows this approach by using the dummy variable of Rosa, Verga (2006). Ultimately we arrive at three major findings using our dataset. (a) Communication and interest changes by central banks are interpreted differently by currency markets: While communication that suggests raising interest rates seems to b
Author: United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 184
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Book Description
Author:
Publisher: ScholarlyEditions
ISBN: 1464965315
Category : Mathematics
Languages : en
Pages : 743
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Book Description
Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Calculus, Mathematical Analysis, and Nonlinear Research. The editors have built Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Calculus, Mathematical Analysis, and Nonlinear Research in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
