.S. dollar is a base currency the impact of the news is larger than in the case of the euro, (vii) announcements on ECB monetary …

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We … find that the Bundesbank has dominated the news coverage. We conclude that ECB statements have mainly influenced volatility …

. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …

This paper examines the effects of newspaper headlines on the exchange rates visa-a-vis both the US dollar and the euro … 03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of … newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging …

heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using …

the exchange rates of three Central and Eastern European (CEE) currencies against the euro. First we estimate the nominal … news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994 … follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …

German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …