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The impact of macro news and central bank communication on emerging European forex markets
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SYSNO ASEP 0428151 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title The impact of macro news and central bank communication on emerging European forex markets Author(s) Égert, B. (FR)
Kočenda, Evžen (NHU-C) RIDSource Title Economic Systems. - : Elsevier - ISSN 0939-3625
Roč. 38, č. 1 (2014), s. 73-88Number of pages 16 s. Language eng - English Country NL - Netherlands Keywords exchange rate ; macroeconomic news ; central bank communication Subject RIV AH - Economics R&D Projects GAP403/11/0020 GA ČR - Czech Science Foundation (CSF) Institutional support NHU-C - PRVOUK-P23 UT WOS 000334088400006 EID SCOPUS 84897666951 DOI 10.1016/j.ecosys.2013.01.004 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2015
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