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

  • Laakkonen, Helinä
  • Lanne, Markku

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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File URL: http://mpra.ub.uni-muenchen.de/8296/1/MPRA_paper_8296.pdf
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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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