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Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times

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  • Laakkonen Helinä

    ()
    (University of Helsinki and HECER)

  • Lanne Markku

    ()
    (University of Helsinki and HECER)

Abstract

We study the impact of positive and negative macroeconomic U.S. and European news announcements in different phases of the business cycle on the high-frequency volatility of the EUR/USD exchange rate. The results suggest that news effects depend on the state of the economy. In general, news increases volatility more in good times than in bad times. News effects are also asymmetric with respect to sign: negative news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.

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File URL: http://www.degruyter.com/view/j/snde.2009.14.1/snde.2009.14.1.1637/snde.2009.14.1.1637.xml?format=INT
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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 14 (2009)
Issue (Month): 1 (December)
Pages: 1-38

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Handle: RePEc:bpj:sndecm:v:14:y:2009:i:1:n:5

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Cited by:
  1. Laivi Laidroo & Zana Grigaliuniene, 2012. "Testing for asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000-2009," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 12(1), pages 61- 86, July.

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