Announcement effect and intraday volatility patterns of euro-dollar exchange rate: monetary policy news arrivals and short-run dynamic response

Mokhtar Darmoul () and Mokhtar Kouki ()
Additional contact information
Mokhtar Darmoul: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr
Mokhtar Kouki: LEGI-Ecole Polytechnique de Tunis

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: In this article, we examine the announcement effect of news relating to the monetary policies of the ECB and the FED and resulting from the official meetings of the Council of the governors and the FOMC on intraday volatility of the foreign exchange rate euro-dollar at five minutes of intervals. The results show that the news of the monetary policy of the ECB relative to its Target interest rates are more significant and more influential on the level of intraday volatility than those of the monetary policy of the FED relative to its federal funds rate. In spite of the reduced number of these news, their effect appears statistically significant during the years of the sample of foreign exchange rate euro-dollar selected. We also introduced a polynomial structure which enables us to take into account the short-run response patterns and to highlight a possible dissymmetry in the effect of each variable of signal on the volatility of foreign exchange rate euro-dollar

Keywords: Announcement effect; forex; news; exchange rate (search for similar items in EconPapers)
JEL-codes: C15 E44 F31 G14 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2009-08
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn, nep-mon and nep-mst
References: Add references at CitEc
Citations:

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2009/09071.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:09071

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().