Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times
Helinä Laakkonen () and
MPRA Paper from University Library of Munich, Germany
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 G15 F31 (search for similar items in EconPapers)
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 (2) Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/8296/1/MPRA_paper_8296.pdf original version (application/pdf)
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)
Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:8296
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany
Address: Schackstr. 4, D-80539 Munich, Germany
Contact information at EDIRC.
Series data maintained by Ekkehart Schlicht ().