Unité mixte de recherche 7235

Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets

Imane El Ouadghiri, Remzi Uctum

[en]In this paper we examine the intraday effects of surprises from scheduled and unscheduled announcements on six major exchange rate returns (jumps) using an extension of the standard Tobit model with heteroskedastic and asymmetric errors. Since observed volatility at high frequency often contains microstructure noise, we use a recently proposed non parametric test to filter out noise and extract jumps from noise-free FX returns (Lee and Mykland (2012)). We found that the most influential scheduled macroeconomic news are globally related to job markets, output growth indicators and public debt. These surprises impact FX jumps rather in the form of good news, as a result of pessimistic forecasts from traders during the crisis period analyzed. We reconfirmed for most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude, reflecting markets’ concern about the cost of stabilization policies.[/en]

AGENDA

mardi 6 décembre 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Eric Monnet (EHESS et PSE)

Le rôle d’amortisseur des banques centrales – une perspective historique

jeudi 8 décembre 2022

Lunch

Georges Prat

12h - 13h, salle 110

Modeling ex-ante risk premiums in the oil market

lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

mardi 13 décembre 2022

Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)

16h-17h

Riding together: eliciting travelers’ preferences for long-distance carpooling

mercredi 14 décembre 2022

Économies du monde musulman

Mohamed Touati Tliba (École Supérieure de Commerce, Alger)

The scientific wealth of nations with special reference to MENA region: a cross-country productivity analysis of academic research

jeudi 15 décembre 2022

Doctorants

Pablo Aguilar Perez

TBA

jeudi 15 décembre 2022

Groupe de travail « Intelligence artificielle »

Matthieu Lapaty (UPMC)

TBA

jeudi 15 décembre 2022

Groupe de travail Economie Comportementale

Magali Dumontet

TBA

Inscription aux Newsletters