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

Darmoul Mokhtar ()
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Darmoul Mokhtar: Centre d'Economie de la Sorbonne

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

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: Exchange rates; official interventions; monetary policy; GARCH models (search for similar items in EconPapers)
JEL-codes: C22 E52 F31 G15 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2006-06
New Economics Papers: this item is included in nep-cba, nep-fin, nep-fmk, nep-ifn, nep-mac, nep-mon and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:bla06049

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