Central bank communication and exchange rate volatility: a GARCH analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10101409" target="_blank" >RIV/00216208:11230/10:10101409 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1080/17520840903498099" target="_blank" >http://dx.doi.org/10.1080/17520840903498099</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/17520840903498099" target="_blank" >10.1080/17520840903498099</a>

Result language
angličtina
Original language name
Central bank communication and exchange rate volatility: a GARCH analysis
Original language description
We examine the effects of the Czech National Bank communication, macroeconomic news and interest rate differential on exchange rate volatility using generalized autoregressive conditional heteroscedasticity model. Our results suggest that central bank communication has a calming effect on exchange rate volatility. The timing of central bank communication seems to matter, too, as financial markets respond more to the communication before the policy meetings than after them. Next, macroeconomic news releases are found to reduce exchange rate volatility, while interest rate differential seems to increase it.
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Project
<a href="/en/project/GAP402%2F10%2F0448" target="_blank" >GAP402/10/0448: Monetary policy transparency: Theory and empirical evaluation</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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