IDEAS home Printed from https://ideas.repec.org/a/wly/ijfiec/v25y2020i2p197-227.html
   My bibliography  Save this article

Macroeconomic news, public communications, and foreign exchange jumps around U.S. and European financial crises

Author

Listed:
  • Mohamed A. Ayadi
  • Walid Ben Omrane
  • Jiahui Wang
  • Robert Welch

Abstract

Jumps in the Euro, Pound, and Yen, based on 5‐minute returns for the period 2004–2015, are shown to be state dependent between recessions and expansions in their response to macroeconomic news announcements and speeches by treasury and central bank senior officials. We find evidence of large jumps and cojumps response to the Federal Open Market Committee rate decision consistently over economic states. U.S. news is more important than EU news and jump magnitude and probability exhibit positive responses. Federal Reserve senior officials' speeches generate more jumps during the U.S. mortgage crisis and the EU sovereign debt recession. Although public communications of some European Central Bank and Bank of England senior officials cause fewer jumps, they produce significant cojumps of the three major currency markets.

Suggested Citation

  • Mohamed A. Ayadi & Walid Ben Omrane & Jiahui Wang & Robert Welch, 2020. "Macroeconomic news, public communications, and foreign exchange jumps around U.S. and European financial crises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-227, April.
    • Handle: RePEc:wly:ijfiec:v:25:y:2020:i:2:p:197-227
    DOI: 10.1002/ijfe.1747
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/ijfe.1747
    Download Restriction: no
    File URL: https://libkey.io/10.1002/ijfe.1747?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
    2. Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021. "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 55-73, June.
    3. Liu, Wenwen & Zhang, Chang & Qiao, Gaoxiu & Xu, Lei, 2022. "Impact of network investor sentiment and news arrival on jumps," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Muhammad Ateeq ur REHMAN & Furman ALI & Shang XIE, 2022. "Impact of Foreign Investment News on the Return, Cost of Equity and Cash Flow Activities," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 112-127, December.
    5. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    6. Ivan Mužić & Ivan Gržeta, 2022. "Expectations of Macroeconomic News Announcements: Bitcoin vs. Traditional Assets," Risks, MDPI, vol. 10(6), pages 1-15, June.
    7. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.
    8. Guo, Junjie & Guo, Yumei & Miao, Shan & Pang, Xin, 2021. "An investigation of semantic similarity in PBOC’s communication on RMB volatility," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 441-455.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:ijfiec:v:25:y:2020:i:2:p:197-227. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/1076-9307/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.