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Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction

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  • Ayadi, Mohamed A.
  • Ben Omrane, Walid
  • Das, Deepan Kumar

Abstract

We examine intraday emerging currency jumps in response to domestic and foreign macroeconomic news announcements, as well as US senior officials' speeches. We use the robust-to-jump volatility estimator to estimate currency jumps. We provide evidence that both emerging currency jumps and cojumps exhibit significant and pronounced responses to US monetary policy and real activity news releases. Moreover, we find that domestic monetary policy and economic real activity data, and senior Federal Reserve officials' speeches, trigger significant jumps in emerging currencies, leading to large currency fluctuations that would disrupt market stability, undermining economic resilience and potentially diminishing ESG ratings.

Suggested Citation

  • Ayadi, Mohamed A. & Ben Omrane, Walid & Das, Deepan Kumar, 2024. "Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction," Emerging Markets Review, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426
    DOI: 10.1016/j.ememar.2024.101147
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    More about this item

    Keywords

    Emerging currencies; Jumps; Macroeconomic announcements; Senior officials speeches;
    All these keywords.

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G1 - Financial Economics - - General Financial Markets

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