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Theoretical and Empirical Analysis of Exchange Rate Communication (Paperback)
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Theoretical and Empirical Analysis of Exchange Rate Communication (Paperback)
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Seminar paper from the year 2007 in the subject Economics -
Finance, grade: 1,0, Otto Beisheim School of Management Vallendar,
course: Seminar in International Finance, language: English,
abstract: The overall aim of this paper is first to review existing
papers and based on this to conduct own research in the field of
the effect of macroeconomic news in general and, more specific, ECB
communication on exchange rates. Exchange rate communication is a
special form of macroeconomic news that is issued by central banks.
Existing research on the effect of this communication has lead to
often diverging result that illustrate the high intensity and
dynamics of the current academic debate with regard to this matter.
On one hand evidence of a relatively high impact on the mean and
volatility of currency markets is found (e.g. by Fratzscher (2004))
whereas others (e.g. Jansen, de Haan (2005)) do not chronicle
statistically significant and persistent results. The difficulty of
understanding the response of currency markets becomes even harder
when the significance of the respective context of news e.g. day of
the week effect is considered or asymmetric responses are taken
into account. Among the group of central banks especially the
European Central Bank has attracted high attention in academic
research. Preceding studies generally create dummy variables to
measure ECB communication. These variables are then by different
methods regressed against the exchange rate or other financial
assets in order to find explanatory relationships. This paper
follows this approach by using the dummy variable of Rosa, Verga
(2006). Ultimately we arrive at three major findings using our
dataset. (a) Communication and interest changes by central banks
are interpreted differently by currency markets: While
communication that suggests raising interest rates seems to b
General
Imprint: |
Grin Verlag
|
Country of origin: |
United States |
Release date: |
September 2011 |
First published: |
August 2013 |
Authors: |
Andreas Grun
• Thomas Lange
|
Dimensions: |
210 x 148 x 3mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
48 |
ISBN-13: |
978-3-656-00408-0 |
Categories: |
Books >
Business & Economics >
Economics >
General
|
LSN: |
3-656-00408-0 |
Barcode: |
9783656004080 |
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