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L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar

Author

Listed:
  • Aurélie Boubel

    (EPEE, Université d’Evry)

  • Sébastien Laurent

    (Université de Liège)

  • Christelle Lecourt

    (CADRE, Université de Lille II)

Abstract

Dans cet article, nous étudions l'impact des signaux de politique monétaire issus des réunions du Conseil de la Bundesbank et du FOMC sur la volatilité intrajournalière du taux de change Deutschemark-dollar (fréquence à 5 minutes). Pour ce faire, nous estimons un modèle AR(1)-GARCH(1,1) qui incorpore une structure polynomiale elle-même fonction des variables de signal, sur la série désaisonnalisée de rendements du taux de change. Cette structure nous permet, en outre, de tester la persistance de ces signaux sur l'heure qui suit leur envoi et de mettre en évidence une dissymétrie entre l'effet des signaux de la Bundesbank et de la Fed sur la volatilité du taux de change.

Suggested Citation

  • Aurélie Boubel & Sébastien Laurent & Christelle Lecourt, 2000. "L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar," Documents de recherche 00-09, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    • Handle: RePEc:eve:wpaper:00-09
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    File URL: https://www.univ-evry.fr/fileadmin/mediatheque/ueve-institutionnel/03_Recherche/laboratoires/Epee/wp/00-09.pdf
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    1. repec:ipg:wpaper:2013-027 is not listed on IDEAS
    2. Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
    3. Darmoul Mokhtar & Nizar Harrathi, 2007. "Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models," Post-Print halshs-00174996, HAL.
    4. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers hal-04141172, HAL.
    5. repec:ipg:wpaper:27 is not listed on IDEAS
    6. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1).
    7. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily euro-dollar volatility," Post-Print halshs-00118789, HAL.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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