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L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar

  • Christelle Lecourt
  • Aurélie Boubel
  • Sébastien Laurent

[fre] 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 Deutsche Mark-dollar (fréquence à cinq 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. [eng] The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility. . 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.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 52 (2001)
Issue (Month): 2 ()
Pages: 353-370

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Handle: RePEc:prs:reveco:reco_0035-2764_2001_num_52_2_410321
Note: DOI:10.2307/3503053
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/reco

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