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Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

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  • Laakkonen, Helinä
  • Lanne, Markku

Abstract

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 8296.

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Date of creation: 2008
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Handle: RePEc:pra:mprapa:8296

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Keywords: Volatility; News; Nonlinearity; Smooth Transition Models;

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Cited by:
  1. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 436-456.
  2. Laivi Laidroo & Zana Grigaliuniene, 2012. "Testing for asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000-2009," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, Baltic International Centre for Economic Policy Studies, vol. 12(1), pages 61- 86, July.

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