The intra-day impact of communication on euro-dollar volatility and jumps

Résultats de recherche: Contribution à un journal/une revueArticle

Résumé

In this paper, we examine the intra-day effects of verbal statements and comments on the FX market uncertainty using two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide empirical evidence of how these two sources of uncertainty matter in measuring the short-term reaction of exchange rates to communication events. Talks significantly trigger large jumps or extreme events for approximately an hour after the news release. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several hours. Our results suggest that monetary authorities generally tend to communicate with markets on days when uncertainty is relatively severe, and higher than normal. Disentangling the US and Euro area statements, we also find that abnormal levels of volatility are mostly driven by the communication of the Euro area officials rather than US authorities.

langue originaleAnglais
Pages (de - à)131-154
Nombre de pages24
journalJournal of International Money and Finance
Volume43
Les DOIs
étatPublié - 1 mai 2014

Empreinte digitale

Eurodollar
Jump
Communication
Authority
Exchange rates
Uncertainty
Euro area
Market uncertainty
Empirical evidence
Trigger
News releases
Extreme events
News

Citer ceci

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The intra-day impact of communication on euro-dollar volatility and jumps. / Dewachter, Hans; Erdemlioglu, Deniz; Gnabo, Jean Yves; Lecourt, Christelle.

Dans: Journal of International Money and Finance, Vol 43, 01.05.2014, p. 131-154.

Résultats de recherche: Contribution à un journal/une revueArticle

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AU - Dewachter, Hans

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