Number of the records: 1
The impact of macro news and central bank communication on emerging European forex markets
- 1.
SYSNO ASEP 0394882 Document Type V - Research Report R&D Document Type O - Ostatní Title The impact of macro news and central bank communication on emerging European forex markets Author(s) Égert, B. (FR)
Kočenda, Evžen (NHU-C) RIDIssue data Munich: CESifo, 2013 Series CESifo Working Paper Series Series number 4288 Number of pages 27 s. Publication form Online - E Language eng - English Country DE - Germany Keywords exchange rate ; macroeconomic news ; central bank communications Subject RIV AH - Economics R&D Projects GAP403/11/0020 GA ČR - Czech Science Foundation (CSF) Institutional support NHU-C - PRVOUK-P23 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2014 Electronic address http://www.cesifo-group.de/DocDL/cesifo1_wp4288.pdf
Number of the records: 1