Joint research unit 7235

Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets

Remzi Uctum, Imane El Ouadghiri

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.

AGENDA

Tuesday 7 February 2023

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

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

Flood Risk Information: Evidence from Paris Housing Markets

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Tuesday 7 February 2023

Développement Durable Environnement et Energie (DDEE)

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Thursday 9 February 2023

Gender, competitiveness, and reaction to defeat

Claire Mollier

Gender, competitiveness, and reaction to defeat

Thursday 9 February 2023

Doctorants

Claire Mollier

Gender, competitiveness, and reaction to defeat

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

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