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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/144

Title: News and dollar exchange rate dinamics
Authors: Tivegna, Massimo
Issue Date: Dec-2000
Publisher: CEIS
Series/Report no.: Quaderni CEIS; 131
Abstract: The aim of this paper is to describe a news-based multivariate GARCH estimation and simulation of the DM-$ and Yen-$ exchange rates jointly with two financial variables strictly connected with their dynamics, i.e. long term yields and the Dow Jones Index. A twice daily frequency (Japanese-European and American time zones) empirical approach and a new class of unscheduled news variables are proposed, used together with the traditional scheduled macroeconomic news. The former are statements by policy makers, forex market reports and comments of various kind, economic, monetary and fiscal policy news and, in general, major events in the world financial markets. Some simultaneity bias in the single equation estimation of exchange rates and of two of their main financial determinants - all depending on a common set of news - is detected. The multivariate estimation of mean and volatility parameters and the simulation of the complete two-zone model allow to asses the relative importance of d...
URI: http://hdl.handle.net/2108/144
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