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The Impact of Macroeconomic News on Exchange Rate Volatility

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  • Helinä Laakkonen

    ()
    (University of Jyväskylä, The School of Business and Economics and FDPE, Finland)

Abstract

The impact of the US and European macroeconomic news on the USD/EUR volatility was examined by using the Flexible Fourier Form method. News increased volatility significantly, and the US news was the most important. The much-tested hypothesis of bad news having a greater impact on volatility was re-confirmed. The announcements were also divided into two categories, the first containing the news that gave conflicting information on the state of the economy and the other containing the news that were consistent. Conflicting news were found to increase volatility significantly more and faster than consistent news.

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Bibliographic Info

Article provided by Finnish Economic Association in its journal Finnish Economic Papers.

Volume (Year): 20 (2007)
Issue (Month): 1 (Spring)
Pages: 23-40

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Handle: RePEc:fep:journl:v:20:y:2007:i:1:p:23-40

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Citations

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Cited by:
  1. Laakkonen, Helinä, 2007. "Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method," Research Discussion Papers 23/2007, Bank of Finland.
  2. Laakkonen Helinä & Lanne Markku, 2009. "Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-38, December.
  3. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
  4. Balázs Égert, 2009. "The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa," OECD Economics Department Working Papers 692, OECD Publishing.
  5. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  6. Laakkonen , Helinä, 2004. "The impact of macroeconomic news on exchange rate volatility," Research Discussion Papers 24/2004, Bank of Finland.
  7. Pierre L. Siklos & Martin T. Bohl, 2008. "Policy words and policy deeds: the ECB and the euro," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 247-265.
  8. Cristi Spulbar & Mihai Nitoi, 2012. "The Impact Of Political And Economic News On The Euro/Ron Exchange Rate: A Garch Approach," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 52-58, December.
  9. Laakkonen, Helinä & Lanne, Markku, 2009. "The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility," MPRA Paper 23718, University Library of Munich, Germany.

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