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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets
Karfakis, Costas I.; Panagiōtidēs, Theodōros - In: Empirica : journal of european economics 42 (2015) 4, pp. 795-811
Persistent link: https://www.econbiz.de/10011485673
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The effects of conventional and unconventional monetary policy on exchange rate volatility
Wei, Wan; Pozo, Susan - In: Cogent economics & finance 9 (2021) 1, pp. 1-19
This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility … in the analysis. Results show that the exchange rate volatility increases significantly in the narrow window before and … after the announcements under conventional monetary policy regime. The increase in the volatility is even greater during the …
Persistent link: https://www.econbiz.de/10013184441
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Examining the relationship between unconventional monetary policy and exchange rate movements : empirical evidence from United States quantitative easing
Masoud, Serag; Bein, Murad A.; Khalifa, Wagdi - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3444-3458
Persistent link: https://www.econbiz.de/10013329876
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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Monetary policy announcements, information schocks, and exchange rate dynamics
Gründler, Daniel; Mayer, Eric; Scharler, Johann - 2021
We study nominal exchange rate dynamics in the aftermath of U.S. monetary policy announcements. Using high-frequency interest rate and stock price movements around FOMC announcements, we distinguish between pure monetary policy shocks and information shocks, which are associated with new...
Persistent link: https://www.econbiz.de/10012591177
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Impact of central bank intervention in the foreign exchange market : evidence from India using an event study approach
Trivedi, Smita Roy; Srinivasan, Bobby - In: Economic papers : a journal of applied economics and policy 35 (2016) 4, pp. 389-402
Persistent link: https://www.econbiz.de/10011718842
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Trading European Central Bank rumours on the EUR-USD exchange rate market
Roodbar, Baback; Metcalf, Hugh; Casalin, Fabrizio - In: International review of financial analysis 61 (2019), pp. 53-70
Persistent link: https://www.econbiz.de/10012206939
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Monetary policy announcements and algorithmic news trading in the foreign exchange market
Goshima, Keiichi; Kumano, Yusuke - In: Monetary and economic studies 37 (2019), pp. 71-98
Persistent link: https://www.econbiz.de/10012140430
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Central bank intervention in USD/INR market : estimating its reaction function and impact on volatility
Trivedi, Smita Roy; Apte, Prakash Gajanan - In: Asia-Pacific financial markets 23 (2016) 3, pp. 263-279
Persistent link: https://www.econbiz.de/10011619931