|
|||||
|
|
The impact of macro news and central bank communication on emerging European forex markets |
|
| Institution: | 1. Department of Economics, Boston College, Chestnut Hill, Massachusetts, USA;2. Department of Finance, West Virginia University, Morgantown, West Virginia, USA;3. Department of Economics, Skidmore College, Saratoga Springs, New York, USA;4. School of Economic Sciences, Washington State University, Pullman, Washington, USA;1. China Nature Asset Management Co., Ltd., 159 West Fuxing Road, Shanghai, China;2. School of Economics, Xiamen University, 422 South Siming Road, Xiamen, China |
| Abstract: | We employ a two-stage empirical strategy to analyze the impact of macroeconomic news and central bank communication on the exchange rates of three Central and Eastern European (CEE) currencies against the euro. First we estimate the nominal equilibrium exchange rate based on a monetary model. Second, we employ a high-frequency GARCH model to estimate the effects of the news and communication along with the estimated exchange rate misalignment on the exchange rate as well as its volatility. The analysis is performed during the pre-crisis (2004–2007) and crisis (2008–2009) periods. CEE currencies react to macroeconomic news during both periods in an intuitive manner that corresponds to exchange rate-related theories. However, the responsiveness of the currencies to central bank verbal interventions becomes important only during the crisis period. |
| Keywords: | Exchange rate Macroeconomic news Central bank communication Monetary model Central Europe European Union |
| 本文献已被 ScienceDirect 等数据库收录！ | |