IDEAS home Printed from https://ideas.repec.org/a/hyp/journl/v3y2015i1p29-37.html
   My bibliography  Save this article

The Impact of Macroeconomic Changes to the European Currency Market

Author

Listed:
  • Iulia LUPU

    (“Victor Slavescu” Centre for Financial and Monetary Research)

Abstract

This paper consists in the analysis of the reaction of the FX market with respect to announcements concerning new macroeconomic data. The analysis consists in the study of the volatility of changes for a set of currency pairs that include the Euro at the moment of these announcements. A measure of the speed with which new information is included in prices is provided by means of a simple GARCH model fitted at each release. We found evidence that the currencies are immediately reacting to this new information.

Suggested Citation

  • Iulia LUPU, 2015. "The Impact of Macroeconomic Changes to the European Currency Market," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 3(1), pages 29-37, March.
    • Handle: RePEc:hyp:journl:v:3:y:2015:i:1:p:29-37
    as

    Download full text from publisher

    File URL: http://hej.hyperion.ro/articles/1(3)_2015/HEJ%20nr1(3)_2015_A3Lupu.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    event study; macroeconomic releases; impact in volatility; European FX market;
    All these keywords.

    JEL classification:

    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hyp:journl:v:3:y:2015:i:1:p:29-37. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Iulian Panait (email available below). General contact details of provider: https://edirc.repec.org/data/fehypro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.