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 17 mai 2022

Rencontres économiques

9h30 à 11h30

Comment se débarrasser des énergies fossiles et développer les énergies renouvelables dans un monde en crise ?

jeudi 19 mai 2022

Lunch

Christophe Blot

Are all central bank asset purchases the same?

lundi 23 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

mardi 24 mai 2022

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

Alice Sindzingre (CEPN) et Fabrice Tricou

De 13h30 à 15h30

Six forms of hierarchy for a theoretical analysis of capitalism

lundi 30 mai 2022

Law, Institutions and Economics in Nanterre (LIEN)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

mardi 31 mai 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

jeudi 9 juin 2022

Lunch

Rémi Generoso

TBA

jeudi 9 juin 2022

Groupe de travail « Intelligence artificielle »

Hugo Le Picard (IFRI)

Salle G614B

Le deep learning au service de l’analyse des énergies renouvelables en Afrique

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