Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

Helinä Laakkonen () and Markku Lanne

MPRA Paper from University Library of Munich, Germany

Abstract: We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.

Keywords: Volatility; News; Nonlinearity; Smooth Transition Models (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-fmk, nep-ifn, nep-mst, nep-opm and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/8296/1/MPRA_paper_8296.pdf original version (application/pdf)

Related works:
Journal Article: Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times (2009)
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:pra:mprapa:8296

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().