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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: 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: Sabri Boubaker
Publisher: World Scientific
ISBN: 9813236663
Category : Business & Economics
Languages : en
Pages : 828
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Book Description
The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Author: Walid Ben Omrane
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a new impulse response analysis to estimate and decompose the simultaneous effect of macroeconomic news surprises on the foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect induced by volatility spillover. We show that more than 50% of the total accumulated news effect on the Pound and the Yen are due to volatility transmission from the two major currencies and mainly from the Euro.
Author: Walid Ben Omrane
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
We examine the state-dependent volatility reaction to macroeconomic news in the euro-dollar, pound-dollar and yen-dollar markets between 2005 and 2009. Unlike the traditional event studies that define economic states based on exogenously determined thresholds, we employ the smooth transition regression model, which allows for the possibility of a gradual as well as an instantaneous regime change. Our results suggest that, on average, for about 40 percent of the major news indicators, the volatility reaction to macroeconomic news is larger in expansions compared to the recession period in the three currency markets. Non-farm payroll employment, GDP advance release, retail sales, trade deficit and CPI announcements are consistently associated with larger volatility response in expansions. New home sales and the Fed funds rate announcements, on the other hand, generate larger market reactions in the recession period. We attribute the pattern associated with new home sales and the Fed funds rate to the unique role the real estate and credit markets played in the 2008 recession. We show that different types of macroeconomic news indicators generate different shapes of transition functions. Specifically, the estimated transition function based on the housing starts data indicates a more gradual regime change compared to other indicators.
Author: Tseke Maserumule
Publisher:
ISBN:
Category : Foreign exchange market
Languages : en
Pages : 61
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Book Description
Author: Fang Cai
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 66
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Book Description
"This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of emerging market exchange rates, but many domestic news do not. Emerging market currencies have become more sensitive to U.S. news in recent years. We also find that market sentiment could sway the impact of news on these currencies systematically, as good (bad) news seems to matter more when optimism (pessimism) prevails. Market uncertainty also interacts with macroeconomic news in a statistically significant way, but its role varies across currencies and news"--Federal Reserve Board web site.
Author: Balázs Égert
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
We employ a two-stage empirical strategy to analyze the impact of macroeconomic news and central bank communication on the exchange rates of three Central and Eastern European (CEE) currencies against the euro. First we estimate the nominal equilibrium exchange rate based on a monetary model. Second, we employ a high-frequency GARCH model to estimate the effects of the news and communication along with the estimated exchange rate misalignment on the exchange rate as well as its volatility. The analysis is performed during the pre-crisis (2004-2007) and crisis (2008-2009) periods. CEE currencies react to macroeconomic news during both periods in an intuitive manner that corresponds to exchange rate-related theories. However, the responsiveness of the currencies to central bank verbal interventions becomes important only during the crisis period.
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: Martin D. D. Evans
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 70
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Book Description
This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.
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
