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Impact of macroeconomic announcements on foreign exchange volatility: Evidence from South Africa

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  • Paul Alagidede
  • Tseke Maserumule

Abstract

This study focuses on scheduled macroeconomic news announcements and evaluates their impact on the volatility of the South African rand (ZAR) and US dollar (USD) exchange rate using high frequency data. The following asymmetries are studied: news items by geographical location, no-news versus surprise news announcements and positive versus negative news announcements. We make the […]

Suggested Citation

  • Paul Alagidede & Tseke Maserumule, 2018. "Impact of macroeconomic announcements on foreign exchange volatility: Evidence from South Africa," Working Papers 751, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:751
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    References listed on IDEAS

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    More about this item

    Keywords

    Market Efficiency; Monetary Policy; Other Macroeconomic Variables; Time Series Analysis;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • F0 - International Economics - - General
    • G0 - Financial Economics - - General

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