L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar

Aurélie Boubel, Sébastien Laurent and Christelle Lecourt

Revue économique, 2001, vol. 52, issue 2, 353-370

Abstract: In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurrence and to reveal a dissymmetry between the effect of the Bundesbank and the Federal Reserve signals on the exchange rate volatility. Classification JEL : C22, F31, G15

JEL-codes: C22 F31 G15 (search for similar items in EconPapers)
Date: 2001
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Journal Article: L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar (2001)
Working Paper: L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar (2000)
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