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%2F14%3A00428151" target="_blank" >RIV/00216208:11640/14:00428151 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.ecosys.2013.01.004" target="_blank" >http://dx.doi.org/10.1016/j.ecosys.2013.01.004</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ecosys.2013.01.004" target="_blank" >10.1016/j.ecosys.2013.01.004</a>

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 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.
Czech name
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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
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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
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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