SoleCRISTransition linkFrontpageTransition linkInstructionsTransition linkLogin Bank of Finland

A Peer-reviewed scientific articles/A1 Journal article (refereed), original research
      
This is the view page of publication. On this page you can view basic information of publication or go back on previous page using back-action on the bottom of the page. If you want to move to edit the information of publication, use the actions on the bottom of the page or continue using the system from menu.


Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times, Studies in Nonlinear Econometrics & Dynamics 1 (2010). Laakkonen, Helinä; Lanne, Markku


Category A Peer-reviewed scientific articles
Sub-category A1 Journal article (refereed), original research
auki Internal authors
All authors as text Laakkonen, Helinä; Lanne, Markku 
Number of authors
Status Published
Year of publication 2010 
Date 15.01.2010 
Name of article Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 
Name of journal Studies in Nonlinear Dynamics and Econometrics
Volume of issue 14 
Number of issue
Pages 38 
Abstract We study the impact of positive and negative macroeconomic U.S. and European news announcements in different phases of the business cycle on the high-frequency volatility of the EUR/USD exchange rate. The results suggest that news effects depend on the state of the economy. In general, news increases volatility more in good times than in bad times. News effects are also asymmetric with respect to sign: negative news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.
Free text descriptor in Finnish makrotalous; uutiset; valuuttakurssit; volatiliteetti; Eurooppa; euro; Yhdysvallat; 
ISSN / e-ISSN 1081-1826 
auki Internet addresses