Macroeconomic News And The Euro Dollar Exchange Rate
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Macroeconomic News And The Euro Dollar Exchange Rate
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Author : Gabriele Galati
language : en
Publisher:
Release Date : 2001
Macroeconomic News And The Euro Dollar Exchange Rate written by Gabriele Galati and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Current events categories.
Macroeconomic News And The Euro Dollar Exchange Rate
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Author : Gabriele Galati
language : en
Publisher:
Release Date : 2013
Macroeconomic News And The Euro Dollar Exchange Rate written by Gabriele Galati and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.
Macroeconomic News And The Euro Dollar Exchange Rate
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Author : Gabriele Galati
language : en
Publisher:
Release Date : 2001
Macroeconomic News And The Euro Dollar Exchange Rate written by Gabriele Galati and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with European Union countries categories.
Eurusd Exchange Rate
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Author :
language : en
Publisher:
Release Date : 2015
Eurusd Exchange Rate written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
Macroeconomic News And Exchange Rates
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Author : Xinyao Zhou
language : en
Publisher:
Release Date : 2014
Macroeconomic News And Exchange Rates written by Xinyao Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Exchange Rate Volatility Response To Macroeconomic News
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Author : Walid Ben Omrane
language : en
Publisher:
Release Date : 2015
Exchange Rate Volatility Response To Macroeconomic News written by Walid Ben Omrane and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
Macroeconomic News Exchange Rate And Equity Returns
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Author : Sandro Kraft
language : en
Publisher:
Release Date : 2011
Macroeconomic News Exchange Rate And Equity Returns written by Sandro Kraft and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
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.
Rationality Behavior And Switching Idiosyncracies In The Euro Dollar Exchange Rate
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Author : Gabriella M. Cagliesi
language : en
Publisher:
Release Date : 2005
Rationality Behavior And Switching Idiosyncracies In The Euro Dollar Exchange Rate written by Gabriella M. Cagliesi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
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.
Trading Activity And Exchange Rates In High Frequency Ebs Data
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Author : Alain P. Chaboud
language : en
Publisher:
Release Date : 2007
Trading Activity And Exchange Rates In High Frequency Ebs Data written by Alain P. Chaboud and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Foreign exchange categories.
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.
The Impact Of Macroeconomic News On Exchange Rate Volatility
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Author : Helinä Laakkonen
language : en
Publisher:
Release Date : 2004
The Impact Of Macroeconomic News On Exchange Rate Volatility written by Helinä Laakkonen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Foreign exchange rates categories.
Tiivistelmä: Makrouutisten vaikutus valuuttakurssin volatiliteettiin.
