Announcement effect and intraday volatility patterns of euro-dollar exchange rate : monetary policy news arrivals and short-run dynamic response
In this article, we examine the announcement effect of news relating to the monetary policies of the ECB and the FED and resulting from the official meetings of the Council of the governors and the FOMC on intraday volatility of the foreign exchange rate euro-dollar at five minutes of intervals. The results show that the news of the monetary policy of the ECB relative to its Target interest rates are more significant and more influential on the level of intraday volatility than those of the monetary policy of the FED relative to its federal funds rate. In spite of the reduced number of these news, their effect appears statistically significant during the years of the sample of foreign exchange rate euro-dollar selected. We also introduced a polynomial structure which enables us to take into account the short-run response patterns and to highlight a possible dissymmetry in the effect of each variable of signal on the volatility of foreign exchange rate euro-dollar.
|Date of creation:||Aug 2009|
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|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00429761|
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