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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2108/144
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| DC Field | Value | Language |
|---|
| contributor.author | Tivegna, Massimo | - |
| date.accessioned | 2005-11-28T11:49:20Z | - |
| date.available | 2005-11-28T11:49:20Z | - |
| date.issued | 2000-12 | - |
| identifier.uri | http://hdl.handle.net/2108/144 | - |
| description.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 different kind of news, both in mean and variance, and the dynamic impulse response of exchange rates to different news-shocks. Some differences are detected in the conditional behavior of mean and volatility in the two trading zones. | en |
| format.extent | 124525 bytes | - |
| format.mimetype | application/pdf | - |
| language.iso | en | en |
| publisher | CEIS | en |
| relation.ispartofseries | Quaderni CEIS; 131 | - |
| subject.classification | SECS-P/02; Politica economica | en |
| title | News and dollar exchange rate dinamics | en |
| type | Article | en |
| subject.jel | F31; Foreign exchange | en |
| Appears in Collections: | Quaderni
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Size | Format |
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| 131.PDF | | 121Kb | Adobe PDF | View/Open |
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