 The impact of macro news and central bank communication on emerging European forex marketsBalázs Égert and Evžen Kočenda Post-Print from HAL Abstract: We employ a two-stage empirical strategy to analyze the impact of macroeconomic news and central bank communication on the exchange rates of three Central and Eastern European (CEE) currencies against the euro. First we estimate the nominal equilibrium exchange rate based on a monetary model. Second, we employ a high-frequency GARCH model to estimate the effects of the news and communication along with the estimated exchange rate misalignment on the exchange rate as well as its volatility. The analysis is performed during the pre-crisis (2004-2007) and crisis (2008-2009) periods. CEE currencies react to macroeconomic news during both periods in an intuitive manner that corresponds to exchange rate-related theories. However, the responsiveness of the currencies to central bank verbal interventions becomes important only during the crisis period. Date: 2014 Published in Economic Systems, 2014, 38 (1), pp.73 - 88. ⟨10.1016/j.ecosys.2013.01.004⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01385932 DOI: 10.1016/j.ecosys.2013.01.004 Access Statistics for this paper More papers in Post-Print from HAL |
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