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Senior official speech attributes and foreign exchange risk around business cycles

Author

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  • Ayadi, Mohamed A.
  • Ben Omrane, Walid
  • Wang, Jiayu
  • Welch, Robert

Abstract

This paper examines the effects of four senior official speech attributes on the Euro-dollar intraday volatility from 2004 to 2015. We show that volatility responds differently to the four attributes - speaker's name, position, institution, and speech content - across economic states. There are more significant effects during the US crisis compared to the European crisis. The majority of speakers decrease volatility except during the US crisis period. Speeches delivered by European Central Bank and Bank of England officials exhibit larger volatility increases compared to the US Federal Reserve and the Treasury Department.

Suggested Citation

  • Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003240
    DOI: 10.1016/j.irfa.2021.102011
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    More about this item

    Keywords

    Foreign exchange markets; Senior official speeches; Volatility; High frequency data;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G1 - Financial Economics - - General Financial Markets

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