Senior official speech attributes and foreign exchange risk around business cycles

Mohamed A. Ayadi, Walid Ben Omrane, Jiayu Wang and Robert Welch

International Review of Financial Analysis, 2022, vol. 80, issue C

Abstract: This paper examines the effects of four senior official speech attributes on the Euro-dollar intraday volatility from 2004 to 2015. We show that volatility responds differently to the four attributes - speaker's name, position, institution, and speech content - across economic states. There are more significant effects during the US crisis compared to the European crisis. The majority of speakers decrease volatility except during the US crisis period. Speeches delivered by European Central Bank and Bank of England officials exhibit larger volatility increases compared to the US Federal Reserve and the Treasury Department.

Keywords: Foreign exchange markets; Senior official speeches; Volatility; High frequency data (search for similar items in EconPapers)
JEL-codes: F31 G1 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003240

DOI: 10.1016/j.irfa.2021.102011

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