The impact of macro news and central bank communication on emerging European forex markets

0428151 - NHU-C 2015 RIV NL eng J - Článek v odborném periodiku
Égert, B. - Kočenda, Evžen
The impact of macro news and central bank communication on emerging European forex markets.
Economic Systems. Roč. 38, č. 1 (2014), s. 73-88. ISSN 0939-3625. E-ISSN 1878-5433
Grant CEP: GA ČR(CZ) GAP403/11/0020
Institucionální podpora: PRVOUK-P23
Klíčová slova: exchange rate * macroeconomic news * central bank communication
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.649, rok: 2014

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.
Trvalý link: http://hdl.handle.net/11104/0233635