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The Impact Of Macroeconomic News On Exchange Rate Volatility
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Book Synopsis The Impact of Macroeconomic News on Exchange Rate Volatility by : Helinä Laakkonen
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.
Book Synopsis Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets by : Walid Ben Omrane
Download or read book Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets written by Walid Ben Omrane and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers by : Sabri Boubaker
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.
Book Synopsis Exchange Rate Volatility Response to Macroeconomic News by : Walid Ben Omrane
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.
Book Synopsis Impact of Macroeconomic News on Foreign Exchange Volatility by : Tseke Maserumule
Download or read book Impact of Macroeconomic News on Foreign Exchange Volatility written by Tseke Maserumule and published by . This book was released on 2017 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets by : Fang Cai
Download or read book The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets written by Fang Cai and published by . This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.
Book Synopsis The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets by : Balázs Égert
Download or read book The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets written by Balázs Égert and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Micro Effects of Macro Announcements by : Torben Gustav Andersen
Download or read book Micro Effects of Macro Announcements written by Torben Gustav Andersen and published by . This book was released on 2002 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis How is Macro News Transmitted to Exchange Rates? by : Martin D. D. Evans
Download or read book How is Macro News Transmitted to Exchange Rates? written by Martin D. D. Evans and published by . This book was released on 2003 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Theoretical and Empirical Analysis of Exchange Rate Communication by : Andreas Grün
Download or read book Theoretical and Empirical Analysis of Exchange Rate Communication written by Andreas Grün and published by Grin Publishing. This book was released on 2011-09-14 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Flexible Exchange Rates for a Stable World Economy by : Joseph E. Gagnon
Download or read book Flexible Exchange Rates for a Stable World Economy written by Joseph E. Gagnon and published by Peterson Institute. This book was released on 2011 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatile exchange rates and how to manage them are a contentious topic whenever economic policymakers gather in international meetings. This book examines the broad parameters of exchange rate policy in light of both high-powered theory and real-world experience. What are the costs and benefits of flexible versus fixed exchange rates? How much of a role should the exchange rate play in monetary policy? Why don't volatile exchange rates destabilize inflation and output? The principal finding of this book is that using monetary policy to fight exchange rate volatility, including through the adoption of a fixed exchange rate regime, leads to greater volatility of employment, output, and inflation. In other words, the "cure" for exchange rate volatility is worse than the disease. This finding is demonstrated in economic models, in historical case studies, and in statistical analysis of the data. The book devotes considerable attention to understanding the reasons why volatile exchange rates do not destabilize inflation and output. The book concludes that many countries would benefit from allowing greater flexibility of their exchange rates in order to target monetary policy at stabilization of their domestic economies. Few, if any, countries would benefit from a move in the opposite direction.
Book Synopsis Exchange Rate Volatility and Intervention by : Tamim A. Bayoumi
Download or read book Exchange Rate Volatility and Intervention written by Tamim A. Bayoumi and published by . This book was released on 1998 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behavior by : Richard Payne
Download or read book The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behavior written by Richard Payne and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. By using data sampled at a five-minute frequency, we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post-announcement, although the significance of these effects decreases rapidly as the interval over which the post-announcement change in exchange rates is increased. The direction of the exchange rate response conforms, in general, with a reaction function interpretation whereby reactions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets. Further, we detect influences of German monetary policy decisions on the reaction of the exchange rate, and also differences between U.S. and German announcements in the exchange rate reaction time pattern.
Book Synopsis The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets by : Balázs Égert
Download or read book The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets written by Balázs Égert and published by . This book was released on 2013 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Economics by : Ronald MacDonald
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Book Synopsis Handbook of Development Economics by : Dani Rodrick
Download or read book Handbook of Development Economics written by Dani Rodrick and published by Elsevier. This book was released on 2009-11-09 with total page 1066 pages. Available in PDF, EPUB and Kindle. Book excerpt: What guidance does academic research really provide to economic policy development? The critical and analytical surveys in this volume investigate links between policies and outcomes by surveying work from broad macroeconomic policies to interventions in microfinance. Asserting that there are no universal correspondences between policies and outcomes, contributors demonstrate instead that only an intense familiarity with the development context and the universe of applicable economic models can generate successful policies. Getting cause-and-effect right is essential for policy design and implementation. With the goal of drawing researchers and policy makers closer, this volume highlights our increasing understanding of ways to combine economic theorizing with careful, thoughtful empirical work. - Presents an accurate, self-contained survey of the current state of the field - Summarizes the most recent discussions, and elucidates new developments - Although original material is also included, the main aim is the provision of comprehensive and accessible surveys
