Time-varying effects of macroeconomic news on euro-dollar returns

Walid Ben Omrane, Tanseli Savaser, Robert Welch and Xinyao Zhou

The North American Journal of Economics and Finance, 2019, vol. 50, issue C

Abstract: We investigate the intraday reaction of euro-dollar exchange rate returns to the US and European macroeconomic news during a period that spans the global financial crisis and the Euro-zone debt crisis. First, we assess whether announcements’ impact is stable over time. We then use time-varying parameter path analysis to investigate whether the currency return response to macroeconomic news is sensitive to changes in market risk and interest rates. We find that news impact coefficients vary significantly over time. Our results also show that higher market risk measured by VIX dampens the effect of US news on euro-dollar returns.

Keywords: Financial crisis; Exchange rates; Parameter path; Macroeconomic news; High-frequency data (search for similar items in EconPapers)
JEL-codes: F31 G1 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306454

DOI: 10.1016/j.najef.2019.101001

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