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Central Bank communication and exchange rate volatility : a GARCH analysis
Fišer, Radovan; Horváth, Roman - 2009
Persistent link: https://www.econbiz.de/10003949300
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Central bank communication and exchange rate volatility : a GARCH analysis
Fišer, Radovan; Horváth, Roman - In: Macroeconomics and finance in emerging market economies 3 (2010) 1, pp. 25-31
Persistent link: https://www.econbiz.de/10003987413
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2017
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy …. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …
Persistent link: https://www.econbiz.de/10011637411
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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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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian A. (contributor);  … - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of … release. During the introductory statement, communication with respect to future price developments is most relevant and has … path of monetary policy. -- European Central Bank ; monetary policy announcements ; communication ; exchange rate …
Persistent link: https://www.econbiz.de/10003763600
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Interest rate and exchange rate volatility spillovers : multiscale perspective of monetary policy transmission in Ghana
Akosah, Nana Kwame; Alagidede, Paul; Schaling, Eric - In: Journal of central banking theory and practice 9 (2020) 1, pp. 135-167
Persistent link: https://www.econbiz.de/10012167220
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Central bank transparency and exchange rate volatility effects on inflation-output volatility
Papadamou, Stephanos; Sidiropoulos, Moïse; … - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 125-133
Persistent link: https://www.econbiz.de/10011715915
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Just words?: a quantitative analysis of the communication of the Central Bank of Brazil
Carvalho, Carlos Viana de; Cordeiro, Fernando; Vargas, … - 2013
We quantify the informational content of statements issued by the interest-rate setting committee of the Central Bank of Brazil (COPOM), building on the methodology developed by Lucca and Trebbi (2011). Using Google search queries, we measure the extent to which each COPOM statement is perceived...
Persistent link: https://www.econbiz.de/10010199541
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The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps
Dewachter, Hans - 2013
volatility are mostly driven by the communication of the Euro area officials rather than US authorities … two measures: continuous volatility and discontinuous jumps . Focusing on the euro-dollar exchange rate, we provide … communication events. Talks significantly trigger large jumps or extreme events for approximately an hour after the news release …
Persistent link: https://www.econbiz.de/10013085549
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Impact of Macroeconomic Variables on Exchange Rate Volatility in India
N., Suresh - 2018
, Export and Purchasing Power Parity (PPP)) on Exchange Rate Volatility (USD to INR) in India. To analyze how this variables …
Persistent link: https://www.econbiz.de/10012931463