The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [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
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Aurélie Boubel: EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne

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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.

Date: 2001
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Published in Revue Economique, 2001, 52 (2), pp.353--370. ⟨10.2307/3503053⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02878015

DOI: 10.2307/3503053

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