Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates
AbstractThis paper characterizes the intriguing features of high frequency 15-min Dollar-Euro foreign exchange returns data. The FIGARCH model is found to be the preferred specification for the long memory volatility process in the high frequency returns. This paper then examines how macroeconomic shocks affect the high frequency Dollar-Euro returns on an intraday basis. Quantifying the intraday effects of the shocks on the high frequency returns by using a linearly distributed lag dummy variable, this paper finds that the effects on the high frequency returns are generally statistically significant and that they appear to be asymmetric depending on the regions and the signs of the shocks and to be persistent for several lags even within a day. However, the macroeconomic shocks are found not to affect the long memory property in the high frequency returns implying that the linear dummy variable model may not be enough to explain the long memory property.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Japan and the World Economy.
Volume (Year): 20 (2008)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505557
High frequency Dollar-Euro exchange rates Long memory volatility FIGARCH model Macroeconomic shocks Asymmetric responses;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Evans, Martin D.D. & Lyons, Richard K., 2005.
"Do currency markets absorb news quickly?,"
Journal of International Money and Finance,
Elsevier, vol. 24(2), pages 197-217, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002.
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?,"
Center for Financial Institutions Working Papers
02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Melvin, Michael & Yin, Xixi, 2000.
"Public Information Arrival, Exchange Rate Volatility, and Quote Frequency,"
Royal Economic Society, vol. 110(465), pages 644-61, July.
- Michael Melvin & Xixi Yin, . "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics.
- Chang, Yuanchen & Taylor, Stephen J., 2003. "Information arrivals and intraday exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 85-112, April.
- DeGennaro, Ramon P. & Shrieves, Ronald E., 1997. "Public information releases, private information arrival and volatility in the foreign exchange market," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 295-315, December.
- Gallant, A. Ronald, 1982. "Unbiased determination of production technologies," Journal of Econometrics, Elsevier, vol. 20(2), pages 285-323, November.
- Alvaro Almeida & Richard Payne & Charles Goodhart, 1997.
"The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour,"
FMG Discussion Papers
dp258, Financial Markets Group.
- Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 383-408, September.
- Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, . "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
- Gabriele Galati & Corrinne Ho, 2003.
"Macroeconomic News and the Euro/Dollar Exchange Rate,"
Banca Monte dei Paschi di Siena SpA, vol. 32(3), pages 371-398, November.
- Gabriele Galati & Corrinne Ho, 2001. "Macroeconomic news and the euro/dollar exchange rate," BIS Working Papers 105, Bank for International Settlements.
- Rasmus Fatum & Michael M. Hutchison, .
"ECB Foreign Exchange Intervention and the Euro: Institutional Framework, News and Intervention,"
EPRU Working Paper Series
02-10, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Rasmus Fatum & Michael Hutchison, 2002. "ECB Foreign Exchange Intervention and the EURO: Institutional Framework, News, and Intervention," Open Economies Review, Springer, vol. 13(4), pages 413-425, October.
- Richard Payne, 1996. "Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market," FMG Discussion Papers dp238, Financial Markets Group.
- Hakkio, Craig S & Pearce, Douglas K, 1985. "The Reaction of Exchange Rates to Economic News," Economic Inquiry, Western Economic Association International, vol. 23(4), pages 621-36, October.
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.