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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 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
Date: 2008
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Journal Article: Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times (2009) Downloads
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:8296

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