Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility. The properties of different methods are studied using a...

We study the effects of the ECB monetary policy and the European crisis resolution policies on the 10 year sovereign bond yields of seven European countries. We find that some of the decisions have had significant impact on sovereign bond yields and have succeeded in reducing stress in the...

This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react significantly stronger to US macroeconomic news in...

We study whether the accuracy of news announcements matters for the impact of news on exchange rate volatility. We use high-frequency EUR/USD returns and releases of 20 US macroeconomic indicators, and measure the precision of news in three different ways. When the precision is defined by the...

The impact of the US and European macroeconomic news on the USD/EUR volatility was examined by using the Flexible Fourier Form method. News increased volatility significantly, and the US news was the most important. The much-tested hypothesis of bad news having a greater impact on volatility was...

Filtering out the intraday periodicity of volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference as regards the impact of news on exchange rate volatility. The properties of different methods are studied...

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news...

We study the effects of a wide range of European crisisresolution policies, including large-scale asset purchase programs of the ECB, on ten-year sovereign bond spreads of seven European countries. Our results based on daily data on bond spreads suggest that policies that are directly geared...

We find that firms with greater tax avoidance incur higher spreads when obtaining bank loans. This finding is robust in a battery of sensitivity analyses and in two quasi-experimental settings including the implementation of Financial Accounting Standards Board Interpretation No. 48 and the...