Počet záznamů: 1
The impact of macro news and central bank communication on emerging European forex markets
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SYSNO ASEP 0394882 Druh ASEP V - Výzkumná zpráva Zařazení RIV O - Ostatní Název The impact of macro news and central bank communication on emerging European forex markets Tvůrce(i) Égert, B. (FR)
Kočenda, Evžen (NHU-C) RIDVyd. údaje Munich: CESifo, 2013 Edice CESifo Working Paper Series Č. sv. edice 4288 Poč.str. 27 s. Forma vydání Online - E Jazyk dok. eng - angličtina Země vyd. DE - Německo Klíč. slova exchange rate ; macroeconomic news ; central bank communications Vědní obor RIV AH - Ekonomie CEP GAP403/11/0020 GA ČR - Grantová agentura ČR Institucionální podpora NHU-C - PRVOUK-P23 Anotace We employ 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 exchange rate as well as its volatility. 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. Responsiveness of the currencies to central bank verbal interventions becomes important only during the crisis period, though. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2014 Elektronická adresa http://www.cesifo-group.de/DocDL/cesifo1_wp4288.pdf
Počet záznamů: 1