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Author : Gabriele Galati
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.3/5 ( download)
Download or read book Macroeconomic News and the Euro/dollar Exchange Rate written by Gabriele Galati and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriele Galati
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book Macroeconomic News and the Euro/Dollar Exchange Rate written by Gabriele Galati and published by . This book was released on 2013 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates to what extent daily movements in the euro/dollar rate were driven by news about the macroeconomic situation in the United States and the euro area during the first two years of EMU. We examine whether market participants reacted to news in different ways depending on whether the news came from the United States or from the euro area, and whether the news was good or bad. Furthermore, we investigate whether traders' reaction to news has changed over time. We find that macroeconomic news has a statistically significant correlation with daily movements of the euro against the dollar. However, this relationship exhibits considerable time variation. There are indications of asymmetric response, but to different extents at different times. Our results also provide evidence that the market seemed to ignore good news and remain fixated on bad news from the euro area, as often claimed in market commentaries, but only for some time.
Author : Gabriele Galati
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (248 download)
Download or read book Macroeconomic News and the Euro/dollar Exchange Rate written by Gabriele Galati and published by . This book was released on 2001 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book EURUSD Exchange Rate written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Determining the movements of currency exchange rates is a longstanding topic in financial market research. Short-term movements are considered to be at least partially explained by the arrival of new information to the market. One way to observe such reactions is to look at scheduled macroeconomic data releases and analyze how markets react if the actual number differs from what was expected. Most studies in this field so far focused on US news announcements. This thesis looks at the euro-dollar exchange rate movements from 2007-2014. It compares news surprises for German, Eurozone and US macroeconomic releases. As opposed to previous studies, the impact of US surprises in recent years appears less dominant, while simultaneously at least German news surprises have the power to move the currency pair when looking at the continuous returns in the first five minutes following the release. Furthermore, it is shown that the response to news surprises change over time alongside fluctuations in the business cycle.
Author : Sabri Boubaker
Publisher : World Scientific
ISBN 13 : 9813236663
Total Pages : 828 pages
Book Rating : 4.8/5 (132 download)
Download or read book Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Sandro Kraft
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (794 download)
Download or read book Macroeconomic News, Exchange Rate and Equity Returns written by Sandro Kraft and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The joint reactions of numerous markets in both Europe and the United States as well as three major US dollar currency pairs to US macroeconomic news announcement is studied and examined using standard theory and analysis. Relative to existing and current research a most recent data sample - 21st of July 2011 is the last data entry - is considered, the most recent crisis - financial crisis in 2007-2008 and economic recession in 2008-2009 - are included in the sample and three major markets - US financial markets, European financial markets and the foreign exchange markets focusing on US dollar exchange rates - are examined. After identifying macroeconomic variables and performing a biasedness test, the analysis identifies four variables (durable goods orders, non-farm payroll, trade balance and unemployment) for exchange rates; five variables (durable goods orders, non-farm payroll, trade balance, retail sales and unemployment) for European equity indices; and one variable, consumer confidence, to have a significant influence. Typically, the R2 for the variables are lower than in previous research, but not contradictory lower. Overall R2 are also lower and in two cases almost contradictory low. A test performed to identify different reaction by the market to good and bad news shows that with three exceptions, reactions are not significantly different conditional on the news. After the analysis, five possible reasons are stated why results in this paper differ from previous research and explain the shortcomings of the model used.
Author : Gabriele Galati
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (641 download)
Download or read book Macroeconomic News and the Euro/dollar Exhange Rate written by Gabriele Galati and published by . This book was released on 2001 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xinyao Zhou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Macroeconomic News and Exchange Rates written by Xinyao Zhou and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriella M. Cagliesi
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book Rationality, Behavior and Switching Idiosyncracies in the Euro-Dollar Exchange Rate written by Gabriella M. Cagliesi and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the determinants of the Euro-Dollar exchange rate, using the news approach to exchange rate modeling and some behavioral finance categories in the interpretation of its dynamics. A twice-daily frequency estimation was chosen, dividing the global trading day into an European Time Zone, ETZ (including also Asian trading), and an American Time Zone, ATZ. A new typology of news variables, unscheduled news, was employed, together with the traditional scheduled macroeconomic news. These former news, consisting of policy statements, market events, market beliefs, terror-related events turned out to be the main determinants of Euro-Dollar movements. Coefficient stability tests suggested to divide our 1999-2004 sample into three sub-periods roughly corresponding to the three phases of recent Euro history. The main finding of our analysis is the rejection of the semi-strong EMH once we move from the estimation over the entire sample to the three sub-periods. Here we find many lagged news variables to be significant, contrary to what EMH posits. The distribution of lagged news across time zones (ETZ and ATZ) and among the three sub-periods, indicates a substantial heterogeneity in the way news are decoded by market participants in the two trading zones and that exchange rates in ATZ react almost exclusively to American news, indicating that this zone influences the rest of the world but it is not affected by it. Scheduled news play a much bigger role in ATZ than in ETZ, especially the creation of new jobs in the US (the Non-farm Payroll). Exchange rate dynamics in ETZ is determined mostly by unscheduled news.
Author : Helinä Laakkonen
Publisher :
ISBN 13 : 9789524621700
Total Pages : 41 pages
Book Rating : 4.6/5 (217 download)
Download or read book The Impact of Macroeconomic News on Exchange Rate Volatility written by Helinä Laakkonen and published by . This book was released on 2004 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä: Makrouutisten vaikutus valuuttakurssin volatiliteettiin.
Author : Walid Ben Omrane
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book Exchange Rate Volatility Response to Macroeconomic News written by Walid Ben Omrane and published by . This book was released on 2015 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Pedro Gomis-Porqueras
Publisher : Routledge
ISBN 13 : 1351895338
Total Pages : 263 pages
Book Rating : 4.3/5 (518 download)
Download or read book The €uro and the Dollar in a Globalized Economy written by Pedro Gomis-Porqueras and published by Routledge. This book was released on 2016-12-05 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dollar has been the dominant currency of the world economy for almost a century; since 2002, the euro has gained widespread international acceptance resulting in important institutional, economic and financial changes both for the euro zone, the United States and the world economies, affecting foreign exchange and financial markets as well as economic activities around the world. In years to come, the international role of the euro will hinge on the validity of the fundamental idea underlying its creation, namely that important components of sovereignty can be pooled and shared among nations in the pursuit of common economic and political objectives. This key book assesses the international role of the euro, discusses its impact on global financial markets, shifting global exchange rate relationships and their implications. With input from various disciplines (economics, business and political science), it foments discussions intended to facilitate an exchange of ideas among academics, practitioners and the local business community.
Author : Robert A. Mundell
Publisher : Springer Science & Business Media
ISBN 13 : 9780792377559
Total Pages : 486 pages
Book Rating : 4.3/5 (775 download)
Download or read book The Euro as a Stabilizer in the International Economic System written by Robert A. Mundell and published by Springer Science & Business Media. This book was released on 2000-03-31 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents 16 papers that have their origins in an international conference held in December, 1998, on the eve of the birth of the Euro. The conference brought together economist, bankers, political economists, economic historians, and politicians in an effort to address questions of how the creation of the Euro will affect the international monetary system. Also included are the transcripts of seven sessions from the conference. Annotation copyrighted by Book News, Inc., Portland, OR
Author : Johannes W. Fedderke
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (226 download)
Download or read book Macroeconomic News 'surprises' and the Rand/dollar Exchange written by Johannes W. Fedderke and published by . This book was released on 2005* with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Economic theory in the context of floating exchange rates has focussed on underlying medium and long term direction of exchange rate movements. Daily volatility is less well understood. One theory that offers an explanation for short term exchange rate movements is that of the efficient market hypothesis or EMH. Its application to the forex market allows exchange rate movements to be understood as the reaction of traders to relevant news. In an efficient market traders react to news and specifically to surprise news events which necessitate a re-evaluation of the currency value. We test for the validity of this hypothesis in the context of the daily rand/dollar forex market over a three year period, adding an emerging market case to the literature. We test the significance of macroeconomic news surprises -measured by the difference between actual and forecast data - in driving daily exchange rates. We find that surprises in both real and nominal variables cause a statistically significant reaction in the exchange rate. The results support an asymmetry between news of different origin as only surprises that originate in the U.S. prove significant. Good news also seems to receive greater attention from traders than bad news in our sample. Finally, we find that the statistical significance of variables is time-varying"--Publisher's website.
Author : Tao Yusi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Macroeconomic News and LOB in Foreign Exchange ECN Market written by Tao Yusi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alain P. Chaboud
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 (121 download)
Download or read book Trading Activity and Exchange Rates in High-frequency EBS Data written by Alain P. Chaboud and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The absence of data has, until now, precluded virtually all research on trading volume in the foreign exchange market. This paper introduces a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market. The dataset gives volumes and prices at the one-minute frequency over a five-year time period in the euro-dollar and dollar-yen currency pairs. We first document intraday volume patterns in euro-dollar and dollar-yen trading, noting the effects of macroeconomic news announcements but also purely institutional factors. We study the effects of UK-specific holidays on euro-dollar and dollar-yen trading volume and find that these holidays cause a sharp decline in trading volume even among dealers outside the UK, a natural experiment that we interpret as further evidence that trading activity is not driven solely by the flow of news about fundamentals. Studying the reaction to U.S. macroeconomic announcements, we show that a sharp pickup in trading volume generally occurs in the minutes following news announcements. This rise in trading volume happens even if the data release is entirely in line with market expectations, and it is often negatively related to the dispersion of ex-ante market expectations. Finally, focusing on one particular data release at the one-second frequency, we document a two-stage reaction whereby the price jumps immediately after the announcement without much trading volume, while trading volume and volatility then surge about 15 seconds after the data release.
Author : Michele Fratianni
Publisher : Springer
ISBN 13 : 1349176990
Total Pages : 245 pages
Book Rating : 4.3/5 (491 download)
Download or read book Exchange Rates, Money and Output written by Michele Fratianni and published by Springer. This book was released on 1984-12-12 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt:
