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The Impact of Macroeconomic Changes to the European Currency Market

Iulia Lupu ()
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Iulia Lupu: “Victor Slavescu” Centre for Financial and Monetary Research

Hyperion Economic Journal, 2015, vol. 3, issue 1, 29-37

Abstract: This paper consists in the analysis of the reaction of the FX market with respect to announcements concerning new macroeconomic data. The analysis consists in the study of the volatility of changes for a set of currency pairs that include the Euro at the moment of these announcements. A measure of the speed with which new information is included in prices is provided by means of a simple GARCH model fitted at each release. We found evidence that the currencies are immediately reacting to this new information.

Keywords: event study; macroeconomic releases; impact in volatility; European FX market (search for similar items in EconPapers)
JEL-codes: E66 F31 G15 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:hyp:journl:v:3:y:2015:i:1:p:29-37