Central Bank Communication and Exchange Rate Volatility:A GARCH Analysis

We examine the effects of the Czech National Bank communication, macroeconomic newsand interest rate differential on exchange rate volatility using generalized autoregressiveconditional heteroscedasticity model. Our results suggest that central bank communicationhas a calming effect on exchange rate volatility. The timing of central bank communicationseems to matter, too, as financial markets respond more to the communication before thepolicy meetings than after them. Next, macroeconomic news releases are found to reduceexchange rate volatility, while interest rate differential seems to increase it....

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Year of publication:	2009-07-01
Authors:	Fišer, Radovan ; Horváth, Roman
Institutions:	William Davidson Institute <Ann Arbor, Mich.>
Subject:	Notenbank \| Central Bank \| GARCH-Prozess \| Wechselkurs

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Extent:	159744 bytes 11 p. application/pdf
Series:	THE WILLIAM DAVIDSON INSTITUTE AT THE UNIVERSITY OF MICHIGAN - Academic Working Papers Working Paper ; 962
Type of publication:	Book / Working Paper
Language:	English
Classification:	E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; F31 - Foreign Exchange ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009360506