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• W96422 abstract "Laakkonen, Helina Essays on the Asymmetric News Effects on Exchange Rate Volatility Jyvaskyla: University of Jyvaskyla, 2009, 124 p. (Jyvaskyla Studies in Business and Economics ISSN 1457-1986; 84) ISBN 978-951-39-3655-6 Diss. One of the fundamental questions in financial economics is how new information is incorporated to asset prices. Four empirical essays preceded by an introductory chapter aim to contribute to the empirical literature on the impact of macroeconomic news on exchange rate volatility. The data set contains 5-minute quotes of the EUR/USD exchange rate from 1999 to 2004 and a comprehensive data set of macroeconomic announcements published in the Bloomberg World Economic Calendar. Filtering intraday seasonality in volatility is crucial in using high frequency data in econometric analysis. The first essay studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility. The properties of different methods are studied by using both real data set and simulated returns. The simulation results suggest that all the methods tend to produce downward-biased estimates of news coefficients, some more than others. The study supports the Flexible Fourier Form method as the best for seasonality filtering. The second essay studies the asymmetries in the impact of different macroeconomic news categories. The results show that US news increases volatility more than news from the euro area, UK and Japan. While there is no difference in the impact of positive and negative news, volatility increases significantly more when both positive and negative news are announced at the same time compared to when there is only either positive or negative news. The third essay examines the impact of positive and negative macroeconomic news announcements in different phases of the business cycle. The results suggest that the news effects depend on the state of the economy: negative news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of positive news in bad and good times. The fourth essay studies whether the accuracy of the news announcements matters in the impact of news on exchange rate volatility. The precision of news is measured in three different ways. When the precision is defined by the size of the first revision of the previous month’s figure, precise news increases volatility significantly more than imprecise news. Also, news on indicators that are in general more precise increases volatility more than news on typically imprecise indicators. Finally, real time data is used to measure the ’true’ precision of news and the results suggest that the size of the first revision of the previous month’s figure is a reasonable signal of ’true’ precision." @default.
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• W96422 title "Essays on the asymmetric news effects on exchange rate volatility" @default.
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