The impact of monetary policy signals on the intradaily euro-dollar volatility

Darmoul Mokhtar ()
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Darmoul Mokhtar: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we investigate the impact of monetary policy signals stemming from the ECB Council and the FOMC on the intradaily Euro-dollar volatility, using high-frequency data (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, starting from the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurence and to reveal a dissymmetry between the effect of the ECB and Federal Reserve signals on the exchange rate volatility.

Keywords: GARCH-models; monetary policy; official interventions; Exchange rates; politique monétaire; interventions officielles; taux de change (search for similar items in EconPapers)
Date: 2006-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00118789
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Published in 2006

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00118789

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