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“News” e tasso di cambio €/$ in alta frequenza: stime econometriche Garch


  • Catalli Pierdomenico


Analizzando l’impatto che news scheduled ed unscheduled possono avere sul tasso di cambio €/$ a frequenza oraria per un arco temporale di sei anni, il presente lavoro indica la necessità di utilizzare queste due tipologie di news per spiegare al meglio l’andamento del cambio. Si rileva inoltre come l’ordine in cui gli indicatori macroeconomici scheduled vengono rilasciati all’interno del mese impatta sulla loro diversa significatività. Molto importante è anche la separazione degli eventi tra favorevoli e sfavorevoli per il cambio in esame: si conferma il noto risultato della letteratura finanziaria, secondo cui il mercato reagisce alle news in modo asimmetrico, dando un maggior peso alle bad news piuttosto che alle good news.

Suggested Citation

  • Catalli Pierdomenico, 2009. "“News” e tasso di cambio €/$ in alta frequenza: stime econometriche Garch," wp.comunite 0056, Department of Communication, University of Teramo.
  • Handle: RePEc:ter:wpaper:0056

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