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

被引：32

作者：

Egert, Balazs ^{[1
,2
,3
,4
]}

Kocenda, Even ^{[2
,4
,5
,6
,7
,8
]}

机构：

[1] OECD, Dept Econ, Paris, France

[2] CESifo, Munich, Germany

[3] Univ Paris 10, EconomiX, F-92001 Nanterre, France

[4] William Davidson Inst, Ann Arbor, MI USA

[5] Charles Univ Prague, CERGE EI, Prague, Czech Republic

[6] Acad Sci, Prague, Czech Republic

[7] Anglo Amer Univ, Prague, Czech Republic

[8] IOS, Regensburg, Germany

来源：

ECONOMIC SYSTEMS | 2014年 / 38卷 / 01期

关键词：

Exchange rate; Macroeconomic news; Central bank communication; Monetary model; Central Europe; European Union; EXCHANGE-RATE VOLATILITY; TIME PRICE DISCOVERY; RATES; POLICY; INTERVENTIONS; INFLATION; STOCK; RISK; ECB;

D O I：

10.1016/j.ecosys.2013.01.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. The 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. However, the responsiveness of the currencies to central bank verbal interventions becomes important only during the crisis period. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：73 / 88

页数：16

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