Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77676
Authors: 
Egert, Balazs
Kocenda, Evžen
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4288
Abstract: 
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.
Subjects: 
exchange rate
macroeconomic news
central bank communication
monetary model
Central Europe
European Union
JEL: 
E31
F31
O11
P17
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.