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Information Spillover, Volatility and the Currency Markets

Yıl 2009, Cilt 1, Sayı 1, 50 - 62, 01.04.2009

Öz

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.

Kaynakça

  • Andersen, T. and T. Bollerslev (1998). Deutsche mark-dollar volatility: intraday volatility patterns, macroeconomic announcements and longer run dependencies. The Journal of Finance, 1, 219–265.
  • Bauwens, L., W. Ben Omrane and P. Giot (2005). News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market. Journal of International Money and Finance, 24, 1108–1125.
  • Beine, M. (2004). Conditional covariances and direct central bank interventions in the foreign exchange markets. Journal of Banking & Finance, 28, 1385–1411.
  • Bollerslev, T. (1990). Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. Review of Economics and Statistics, 72, 498– 505.
  • Cai, J., Y. Cheung, R. Lee, and M. Melvin (2001). Once in a generation yen volatility in 1998: fundamentals, intervention and order flow. Journal of International Money and Finance, 20, 327–347.
  • Cheung, Y.W. and M. Chinn (2001). Currency traders and exchange rate dynamics: a survey of the US market. Journal of International Money and Finance, 20, 439–471.
  • Danielsson, J., and R. Payne (2002). Real trading patterns and prices in the spot foreign exchange markets. Journal of International Money and Finance, 21, 203–222.
  • Degennaro, R., and R. Shrieves (1997). Public information releases, private information arrival and volatility in the foreign exchange market. Journal of Empirical Finance, 4, 295–315.
  • Friedland, S. (2004). Convergence of products of matrices in projective spaces. University of Illinois at Chicago.
  • Gallant, A., P. Rossi and G. Tauchen (1993). Nonlinear Dynamic Structures. Econometrica, 61, 871–907.
  • Hafner, C. and H. Herwartz (2006). Volatility Impulse Response Functions for Multivariate GARCH Models. Journal of International Money and Finance, 25, 719–740.
  • Hafner, C. and H. Herwartz (2008). Analytical Quasi Maximum Likelihood Inference in Multivariate Volatility Models. Metrika, 67, 219–239.
  • Jeantheau, T. (1998). Strong Consistency of Estimators for Multivariate ARCH Models. Econometric Theory, 14, 70–86.
  • Koop, G., M. Pesaran and S. Potter (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74, 119–147.
  • Lin, W.L. (1997). Impulse Response Function for Conditional Volatility in GARCH Models. Journal of Business & Economic Statistics, 15, 15–25.
  • Ling, S. and M. McAleer (2003). Asymptotic Theory for a Vector ARMA-GARCH Model. Econometric Theory, 19, 280–310.
  • Sims, C. (1980). Macroeconomics and Reality. Econometrica, 48, 1–48.

Yıl 2009, Cilt 1, Sayı 1, 50 - 62, 01.04.2009

Öz

Kaynakça

  • Andersen, T. and T. Bollerslev (1998). Deutsche mark-dollar volatility: intraday volatility patterns, macroeconomic announcements and longer run dependencies. The Journal of Finance, 1, 219–265.
  • Bauwens, L., W. Ben Omrane and P. Giot (2005). News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market. Journal of International Money and Finance, 24, 1108–1125.
  • Beine, M. (2004). Conditional covariances and direct central bank interventions in the foreign exchange markets. Journal of Banking & Finance, 28, 1385–1411.
  • Bollerslev, T. (1990). Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. Review of Economics and Statistics, 72, 498– 505.
  • Cai, J., Y. Cheung, R. Lee, and M. Melvin (2001). Once in a generation yen volatility in 1998: fundamentals, intervention and order flow. Journal of International Money and Finance, 20, 327–347.
  • Cheung, Y.W. and M. Chinn (2001). Currency traders and exchange rate dynamics: a survey of the US market. Journal of International Money and Finance, 20, 439–471.
  • Danielsson, J., and R. Payne (2002). Real trading patterns and prices in the spot foreign exchange markets. Journal of International Money and Finance, 21, 203–222.
  • Degennaro, R., and R. Shrieves (1997). Public information releases, private information arrival and volatility in the foreign exchange market. Journal of Empirical Finance, 4, 295–315.
  • Friedland, S. (2004). Convergence of products of matrices in projective spaces. University of Illinois at Chicago.
  • Gallant, A., P. Rossi and G. Tauchen (1993). Nonlinear Dynamic Structures. Econometrica, 61, 871–907.
  • Hafner, C. and H. Herwartz (2006). Volatility Impulse Response Functions for Multivariate GARCH Models. Journal of International Money and Finance, 25, 719–740.
  • Hafner, C. and H. Herwartz (2008). Analytical Quasi Maximum Likelihood Inference in Multivariate Volatility Models. Metrika, 67, 219–239.
  • Jeantheau, T. (1998). Strong Consistency of Estimators for Multivariate ARCH Models. Econometric Theory, 14, 70–86.
  • Koop, G., M. Pesaran and S. Potter (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74, 119–147.
  • Lin, W.L. (1997). Impulse Response Function for Conditional Volatility in GARCH Models. Journal of Business & Economic Statistics, 15, 15–25.
  • Ling, S. and M. McAleer (2003). Asymptotic Theory for a Vector ARMA-GARCH Model. Econometric Theory, 19, 280–310.
  • Sims, C. (1980). Macroeconomics and Reality. Econometrica, 48, 1–48.

Ayrıntılar

Konular Sosyal, İşletme
Diğer ID JA75AR72TV
Bölüm Makaleler
Yazarlar

Walid Ben OMRANE Bu kişi benim


Christian M. HAFNER Bu kişi benim

Yayımlanma Tarihi 1 Nisan 2009
Yayınlandığı Sayı Yıl 2009, Cilt 1, Sayı 1

Kaynak Göster

Bibtex @ { ier278080, journal = {International Econometric Review}, issn = {1308-8793}, eissn = {1308-8815}, address = {Şairler Sokak, No:32/C, Gaziosmanpaşa, Ankara}, publisher = {Ekonometrik Araştırmalar Derneği}, year = {2009}, volume = {1}, pages = {50 - 62}, doi = {}, title = {Information Spillover, Volatility and the Currency Markets}, key = {cite}, author = {Omrane, Walid Ben and Hafner, Christian M.} }
APA Omrane, W. B. & Hafner, C. M. (2009). Information Spillover, Volatility and the Currency Markets . International Econometric Review , 1 (1) , 50-62 . Retrieved from https://dergipark.org.tr/tr/pub/ier/issue/26411/278080
MLA Omrane, W. B. , Hafner, C. M. "Information Spillover, Volatility and the Currency Markets" . International Econometric Review 1 (2009 ): 50-62 <https://dergipark.org.tr/tr/pub/ier/issue/26411/278080>
Chicago Omrane, W. B. , Hafner, C. M. "Information Spillover, Volatility and the Currency Markets". International Econometric Review 1 (2009 ): 50-62
RIS TY - JOUR T1 - Information Spillover, Volatility and the Currency Markets AU - Walid Ben Omrane , Christian M. Hafner Y1 - 2009 PY - 2009 N1 - DO - T2 - International Econometric Review JF - Journal JO - JOR SP - 50 EP - 62 VL - 1 IS - 1 SN - 1308-8793-1308-8815 M3 - UR - Y2 - 2022 ER -
EndNote %0 International Econometric Review Information Spillover, Volatility and the Currency Markets %A Walid Ben Omrane , Christian M. Hafner %T Information Spillover, Volatility and the Currency Markets %D 2009 %J International Econometric Review %P 1308-8793-1308-8815 %V 1 %N 1 %R %U
ISNAD Omrane, Walid Ben , Hafner, Christian M. . "Information Spillover, Volatility and the Currency Markets". International Econometric Review 1 / 1 (Nisan 2009): 50-62 .
AMA Omrane W. B. , Hafner C. M. Information Spillover, Volatility and the Currency Markets. IER. 2009; 1(1): 50-62.
Vancouver Omrane W. B. , Hafner C. M. Information Spillover, Volatility and the Currency Markets. International Econometric Review. 2009; 1(1): 50-62.
IEEE W. B. Omrane ve C. M. Hafner , "Information Spillover, Volatility and the Currency Markets", International Econometric Review, c. 1, sayı. 1, ss. 50-62, Nis. 2009