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The impact of macro news and central bank communication on emerging European forex markets
- 1.0428151 - NHU-C 2015 RIV NL eng J - Journal Article
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
R&D Projects: GA ČR(CZ) GAP403/11/0020
Institutional support: PRVOUK-P23
Keywords : exchange rate * macroeconomic news * central bank communication
Subject RIV: AH - Economics
Impact factor: 0.649, year: 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.
Permanent Link: http://hdl.handle.net/11104/0233635
Number of the records: 1