Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times
2009; De Gruyter; Volume: 14; Issue: 1 Linguagem: Inglês
10.2202/1558-3708.1637
ISSN1558-3708
AutoresHelinä Laakkonen, Markku Lanne,
Tópico(s)Market Dynamics and Volatility
ResumoWe study the impact of positive and negative macroeconomic U.S. and European news announcements in different phases of the business cycle on the high-frequency volatility of the EUR/USD exchange rate. The results suggest that news effects depend on the state of the economy. In general, news increases volatility more in good times than in bad times. News effects are also asymmetric with respect to sign: negative news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.
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