The Impact of Macroeconomic News on Exchange Rate Volatility

Helinä Laakkonen ()

Finnish Economic Papers, 2007, vol. 20, issue 1, pages 23-40

Abstract: The impact of the US and European macroeconomic news on the USD/EUR volatility was examined by using the Flexible Fourier Form method. News increased volatility significantly, and the US news was the most important. The much-tested hypothesis of bad news having a greater impact on volatility was re-confirmed. The announcements were also divided into two categories, the first containing the news that gave conflicting information on the state of the economy and the other containing the news that were consistent. Conflicting news were found to increase volatility significantly more and faster than consistent news.

JEL-codes: G14 C14 C12 (search for similar items in EconPapers)
Date: 2007
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Related works:
Working Paper: The impact of macroeconomic news on exchange rate volatility (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:fep:journl:v:20:y:2007:i:1:p:23-40

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