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News and Dollar Exchange Rate Dynamics

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  • Massimo TIVEGNA

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    Abstract

    L'articolo descrive un modello GARCH multivariato, basato sulle news, dei tassi di cambio DM-$ e Yen-$, stimato simultaneamente con due variabili strettamente connesse con la loro dinamica: i tassi di interesse a lunga e l'indice azionario Dow Jones. Lo studio propone una frequenza di campionamento bigiornaliera (con osservazioni al termine della zona di trading Asiatica-Europea e della zona Americana) ed una nuova classe di news "unscheduled", che vengono usate accanto alle piu' tradizionali news macroeconomiche, che sono tipicamente "scheduled". Le prime sono costituite da dichiarazioni delle autorita' di politica economica, da eventi dei mercati dei cambi, da news di politica economica, da newsletter e commenti finanziari di varia natura, da tutti gli eventi piu' importanti dei mercati finanziari mondiali. Le stime econometriche individuano distorsioni da simultaneita' nelle stime GARCH univariate, in parte generate da variabili di news comuni a piu' equazioni. La stima simultanea multivariata della media e della volatilita' consente di attribuire un peso specifico a ciascuna classe di news nella spiegazione delle fluttuazioni dei cambi studiati, sia in media che in varianza. Le news "unscheduled" spiegano la maggior parte delle fluttuazioni dei cambi. Lo studio descrive anche una "gara" tra i modelli di news ed il "random walk" sulla "performance" previsiva e sulla profittabilita'. I modelli di news battono il "random walk".

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    Bibliographic Info

    Article provided by SIE - Societa' Italiana degli Economisti (I) in its journal Rivista Italiana degli Economisti.

    Volume (Year): 7 (2002)
    Issue (Month): 1 (April)
    Pages: 3-48

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    Handle: RePEc:rie:review:v:7:y:2002:i:1:n:1

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    Cited by:
    1. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, Elsevier, vol. 23(1), pages 146-175, March.
    2. Jansen, David-Jan & De Haan, Jakob, 2005. "Talking heads: the effects of ECB statements on the euro-dollar exchange rate," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(2), pages 343-361, March.

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