Central bank communication and exchange rate volatility: a GARCH analysis
AbstractWe examine the effects of the Czech National Bank communication, macroeconomic news and interest rate differential on exchange rate volatility using generalized autoregressive conditional heteroscedasticity model. Our results suggest that central bank communication has a calming effect on exchange rate volatility. The timing of central bank communication seems to matter, too, as financial markets respond more to the communication before the policy meetings than after them. Next, macroeconomic news releases are found to reduce exchange rate volatility, while interest rate differential seems to increase it.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Macroeconomics and Finance in Emerging Market Economies.
Volume (Year): 3 (2010)
Issue (Month): 1 ()
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Other versions of this item:
- roman Horvath & Radovan Fiser, 2009. "Central Bank Communication and Exchange Rate Volatility: A GARCH Analysis," William Davidson Institute Working Papers Series wp962, William Davidson Institute at the University of Michigan.
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F31 - International Economics - - International Finance - - - Foreign Exchange
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