Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238784 
Year of Publication: 
2009
Citation: 
[Journal:] International Econometric Review (IER) [ISSN:] 1308-8815 [Volume:] 1 [Issue:] 1 [Publisher:] Econometric Research Association (ERA) [Place:] Ankara [Year:] 2009 [Pages:] 50-62
Publisher: 
Econometric Research Association (ERA), Ankara
Abstract: 
We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the definition of impulse responses, we allow for different types of news, and consider two categories in the application: those considered positive or negative for the U.S. economy. Using a multivariate GARCH model with exogenous news effects, we find that the initial impact of positive news on the volatility of the Pound is higher than that of the Euro, whereas the persistence of shocks is highest for the Yen. For negative news, we find that an important part of the impact on the Yen and Pound is induced by volatility spillover from the Euro.
Subjects: 
Information
Volatility
Impulse Response Function
Foreign Exchange
JEL: 
C32
C53
F31
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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