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The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar]

Author

Listed:
  • Aurélie Boubel

    (EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

  • Sébastien Laurent
  • Christelle Lecourt

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurrence and to reveal a dissymmetry between the effect of the Bundesbank and the Federal Reserve signals on the exchange rate volatility.

Suggested Citation

  • Aurélie Boubel & Sébastien Laurent & Christelle Lecourt, 2001. "The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-," Post-Print hal-02878015, HAL.
    • Handle: RePEc:hal:journl:hal-02878015
    DOI: 10.2307/3503053
    as

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