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Around-the-clock USD/MXN volatility: macroeconomic announcement spillovers and FX market intervention mechanisms
Pedroza, Wilfrido Jurado - 2021
This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by … leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD … the effects and the relative impact on the USD/MXN volatility process of various macroeconomic announcements, at different …
Persistent link: https://www.econbiz.de/10012584134
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Something in the air: information density, news surprises, and price jumps
Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015
This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...
Persistent link: https://www.econbiz.de/10011344170
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Financial crises, price discovery, and information transmission : a high-frequency perspective
Füss, Roland; Mager, Ferdinand; Stein, Michael; Zhao, Lu - In: Financial markets and portfolio management 32 (2018) 4, pp. 333-365
Persistent link: https://www.econbiz.de/10011951995
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Commonality in liquidity : effects of monetary policy and macroeconomic announcements
Sensoy, Ahmet - In: Finance research letters 16 (2016), pp. 125-131
Persistent link: https://www.econbiz.de/10011655140
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Stock market volatility and price discovery : three essays on the effect of macroeconomic information
Rangel, Jose Gonzalo - 2006
Persistent link: https://www.econbiz.de/10003965692
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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The signaling effects of fiscal announcements
Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; … - 2024
Persistent link: https://www.econbiz.de/10015049102
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The signaling effects of fiscal announcements
Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; … - 2024
Announcing a large fiscal stimulus may signal the government’s pessimism about the severity of a recession to the private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling effects occur when the stimulus exceeds expectations and...
Persistent link: https://www.econbiz.de/10015052575
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Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve
Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015
Persistent link: https://www.econbiz.de/10011437580
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Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements
Ishfaq, Muhammad; Muhammad Usman Arshad; Durrani, … - In: Cogent economics & finance 10 (2022) 1, pp. 1-28
The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were … exchange rates. The forex returns, bid-ask spread, and volatility indices demonstrated less vulnerability towards Chinese …
Persistent link: https://www.econbiz.de/10013431442