Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction

Mohamed A. Ayadi, Walid Ben Omrane and Deepan Kumar Das

Emerging Markets Review, 2024, vol. 60, issue C

Abstract: We examine intraday emerging currency jumps in response to domestic and foreign macroeconomic news announcements, as well as US senior officials' speeches. We use the robust-to-jump volatility estimator to estimate currency jumps. We provide evidence that both emerging currency jumps and cojumps exhibit significant and pronounced responses to US monetary policy and real activity news releases. Moreover, we find that domestic monetary policy and economic real activity data, and senior Federal Reserve officials' speeches, trigger significant jumps in emerging currencies, leading to large currency fluctuations that would disrupt market stability, undermining economic resilience and potentially diminishing ESG ratings.

Keywords: Emerging currencies; Jumps; Macroeconomic announcements; Senior officials speeches (search for similar items in EconPapers)
JEL-codes: E5 F31 G1 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426

DOI: 10.1016/j.ememar.2024.101147

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