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Announcement effect and intraday volatility patterns of euro-dollar exchange rate : monetary policy news arrivals and short-run dynamic response

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Author Info

  • Mokhtar Darmoul

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Mokhtar Kouki

    ()
    (LEGI - Ecole Polytechnique de Tunisie)

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    Abstract

    Dans cet article, nous examinons l'effet d'annonce des news relatifs aux politiques monétaires de la BCE et de la FED issus des réunions officielles du Conseil des gouverneurs et du FOMC sur la volatilité intrajournalière du taux de change euro-dollar à cinq minutes d'intervalles. Les résultats montrent que les news de la politique monétaire de la BCE relatifs à ses taux d'intérêt Target sont plus significatifs et plus influents sur le niveau de la volatilité intrajournalière que ceux de la politique monétaire de la FED relatifs à son taux des fonds fédéraux. Malgré le nombre réduit de ces news, leur effet apparaît statistiquement significatif au cours des années de l'échantillon du taux de change euro-dollar choisi. Nous avons également introduit une structure polynomiale qui permet de prendre en compte la persistance de court terme et de mettre en évidence une possible dissymétrie dans l'effet de chaque variable de signal sur la volatilité du taux de change euro-dollar.

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    Bibliographic Info

    Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00429761.

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    Date of creation: Aug 2009
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    Handle: RePEc:hal:cesptp:halshs-00429761

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    Related research

    Keywords: Effet d'annonce ; forex ; news ; taux de change.;

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