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Macroeconomic news, public communications, and foreign exchange jumps around U.S. and European financial crises

Author

Listed:
  • Mohamed A. Ayadi
  • Walid Ben Omrane
  • Jiahui Wang
  • Robert Welch

Abstract

Jumps in the Euro, Pound, and Yen, based on 5‐minute returns for the period 2004–2015, are shown to be state dependent between recessions and expansions in their response to macroeconomic news announcements and speeches by treasury and central bank senior officials. We find evidence of large jumps and cojumps response to the Federal Open Market Committee rate decision consistently over economic states. U.S. news is more important than EU news and jump magnitude and probability exhibit positive responses. Federal Reserve senior officials' speeches generate more jumps during the U.S. mortgage crisis and the EU sovereign debt recession. Although public communications of some European Central Bank and Bank of England senior officials cause fewer jumps, they produce significant cojumps of the three major currency markets.

Suggested Citation

  • Mohamed A. Ayadi & Walid Ben Omrane & Jiahui Wang & Robert Welch, 2020. "Macroeconomic news, public communications, and foreign exchange jumps around U.S. and European financial crises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-227, April.
    • Handle: RePEc:wly:ijfiec:v:25:y:2020:i:2:p:197-227
    DOI: 10.1002/ijfe.1747
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    Cited by:

    1. Liu, Wenwen & Zhang, Chang & Qiao, Gaoxiu & Xu, Lei, 2022. "Impact of network investor sentiment and news arrival on jumps," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Muhammad Ateeq ur REHMAN & Furman ALI & Shang XIE, 2022. "Impact of Foreign Investment News on the Return, Cost of Equity and Cash Flow Activities," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 112-127, December.
    3. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.
    4. Guo, Junjie & Guo, Yumei & Miao, Shan & Pang, Xin, 2021. "An investigation of semantic similarity in PBOC’s communication on RMB volatility," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 441-455.
    5. 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).
    6. Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021. "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 55-73, June.
    7. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    8. Ivan Mužić & Ivan Gržeta, 2022. "Expectations of Macroeconomic News Announcements: Bitcoin vs. Traditional Assets," Risks, MDPI, vol. 10(6), pages 1-15, June.

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