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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F13%3A00394882" target="_blank" >RIV/00216208:11640/13:00394882 - isvavai.cz</a>
Result on the web
<a href="http://www.cesifo-group.de/DocDL/cesifo1_wp4288.pdf" target="_blank" >http://www.cesifo-group.de/DocDL/cesifo1_wp4288.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The impact of macro news and central bank communication on emerging European forex markets
Original language description
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.
Czech name
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Czech description
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Project
<a href="/en/project/GAP403%2F11%2F0020" target="_blank" >GAP403/11/0020: Dynamics of information flows and volatility transmission in financial markets</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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