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Статті в журналах з теми "Macroeconomic news. Exchange rates. Nowcasting"
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Pearce, Douglas K., and M. Nihat Solakoglu. "Macroeconomic news and exchange rates." Journal of International Financial Markets, Institutions and Money 17, no. 4 (October 2007): 307–25. http://dx.doi.org/10.1016/j.intfin.2005.12.004.
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Love, Ryan, and Richard Payne. "Macroeconomic News, Order Flows, and Exchange Rates." Journal of Financial and Quantitative Analysis 43, no. 2 (June 2008): 467–88. http://dx.doi.org/10.1017/s0022109000003598.
Повний текст джерелаАнотація:
AbstractIn textbook models of exchange rate determination, the news contained in public information announcements is directly impounded into prices with there being no role for trading in this process of information assimilation. This paper directly tests this theoretical result using transaction level exchange rate return and trading data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is partially impounded into prices via the key micro level price determinant—order flow. We quantify the role that order flow plays and find that approximately one third of price-relevant information is incorporated via the trading process.
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Erçen, Hüseyin İlker, Hüseyin Özdeşer, and Turgut Türsoy. "The Impact of Macroeconomic Sustainability on Exchange Rate: Hybrid Machine-Learning Approach." Sustainability 14, no. 9 (April 29, 2022): 5357. http://dx.doi.org/10.3390/su14095357.
Повний текст джерелаАнотація:
This paper constructed a robust methodology to investigate the impact of news regarding macroeconomic policies on exchange rate fluctuations, and to examined the applicability of qualitative information alongside historical data to predict exchange rates. To do so, hybrid machine learning algorithms comprised of natural language processing, fuzzy logic, and support vector regression have been constructed. This study emphasizes the significance of qualitative information on investors’ subjective consideration, the decision-making process, and causality on exchange rate volatility. To perceive the causality of expected and unexpected macroeconomic news on exchange rate fluctuations, news regarding the inflation rate, interest rate, unemployment rate, balance of trade, and credit ratings has been extracted from the web. Learning automata has been adopted to construct a unique lexicon for textual analysis. Subjective considerations of decision makers based on news have been evaluated by processing using the prospect theory and composing fuzzy antecedents for the fuzzy logic phase. The fuzzy logic method attained the correlation value between the macroeconomic news and the exchange rate. Finally, support vector regression predicted the exchange rate on a daily basis. The statistical test results indicated a strong correlation between recently published macroeconomic news on daily exchange rate fluctuations and their usability for predicting exchange rates in the short term, while emphasizing the significance of sustainable macroeconomic policies on exchange rate stability.
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Anderson, Torben G., Tim Bollerslev, Francis X. Diebold, and Clara Vega. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange." American Economic Review 93, no. 1 (February 1, 2003): 38–62. http://dx.doi.org/10.1257/000282803321455151.
Повний текст джерелаАнотація:
Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
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Sultonov, Mirzosaid. "The Impacts of International Political and Economic Events on Japanese Financial Markets." International Journal of Financial Studies 8, no. 3 (July 8, 2020): 43. http://dx.doi.org/10.3390/ijfs8030043.
Повний текст джерелаАнотація:
Information about the possibilities of changes in national and international macroeconomic variables affects the expectations and behavior of individuals and firms more quickly than real changes in those macroeconomic variables. In this research, we investigate the impacts of international information (news) on the financial markets in Japan. We examine how news about the results of the Brexit referendum (BR) and the United States presidential election (USE) affected foreign exchange rates and stock market indexes. This research reveals evidence of statistically significant changes in exchange rates and stock market indexes within two weeks after the BR and USE, statistically significant changes in the exchange rate variance within the first week after the BR, and changes in the causality relationship between the variables after each event.
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ne, G. "Machine-Coded News-Based Sentiment Index for Turkey and its Impact on Exchange Rates." Ekonomik Yaklasim 33, no. 123 (2022): 147. http://dx.doi.org/10.5455/ey.22001.
Повний текст джерелаАнотація:
This paper, initially, develops an automated system that conducts a content analysis using newspaper coverage to generate a high frequency news-driven sentiment index. The system classifies the news as good, bad, or neutral depending on word frequencies. Then, the study investigates the relationship between the news-based sentiment index and exchange rates in Turkey after controlling for both domestic and foreign macroeconomic fundamentals. The results reveal that US economic announcements drive the value of Turkish Lira whereas the Turkish economic announcements and sentiment index are ineffective. When other financial variables are considered, there is strong evidence that the sentiment index affects the stock market returns. Turkish macroeconomic announcements are insignificant in the stock and bond market specifications. The US announcements affect medium to long-term bond yields.
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Chen, Show-Lin, Ching-Chin Chou, and Nen-Jing Chen. "A wavelet transform analysis of the relationship between unexpected macroeconomic news and foreign exchange rates." Applied Economics Letters 20, no. 3 (February 2013): 292–96. http://dx.doi.org/10.1080/13504851.2012.692867.
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Mkhosi, Percy, and Ismail Fasanya. "Revisiting Interest Rate – Exchange Rate Dynamics in South Africa: How Relevant is Pandemic Uncertainties?" Scientific Annals of Economics and Business 69, no. 3 (September 16, 2022): 435–57. http://dx.doi.org/10.47743/saeb-2022-0023.
Повний текст джерелаАнотація:
This paper revisits the link between exchange rate and interest rate considering the role of uncertainty due to infectious diseases in the South African economy using monthly data from January 1985 to August 2020 within a nonparametric framework. First, we examine the relationship between the exchange-interest rates hypothesis and observe a significant positive link, especially during the pandemic. Second, we analyze the volatility spillover among exchange rates, interest rates and other macroeconomic fundamentals and find a strong connection with the interest rate being net receivers of shocks. Third, with evidence of nonlinearity in the variables, the nonparametric quantiles-based causality test shows that the spillover for each asset is driven by pandemic uncertainty around the median quantiles. Conclusively, this suggests that the role of global health news in influencing the South African financial cycle which consequently leads to capital flows and movements in the prices of assets across financial markets cannot be downplayed. Relevant policy implications can be drawn from these findings.
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Moradi, Mahdi, Andrea Appolloni, Grzegorz Zimon, Hossein Tarighi, and Maede Kamali. "Macroeconomic Factors and Stock Price Crash Risk: Do Managers Withhold Bad News in the Crisis-Ridden Iran Market?" Sustainability 13, no. 7 (March 26, 2021): 3688. http://dx.doi.org/10.3390/su13073688.
Повний текст джерелаАнотація:
The present study aims to investigate the effects of macroeconomic variables on stock price crash risk in the economically uncertain conditions of Iran’s market. This study also seeks to examine whether there is a significant relationship between some firm characteristics and falling stock prices. The sample of the study includes 152 Iranian companies listed on the Tehran Stock Exchange (TSE) between 2014 and 2019. Furthermore, the research model has been estimated using a fixed effect pattern, and the DUVOL (down-to-up volatility) measure is defined as a proxy for stock price crash risk. Consistent with our expectations, the results show that there is a positive association between the inflation and unemployment rates and stock price crash risk, whereas the GDP and exchange rates are correlated negatively with crash risk. In fact, with rising inflation and unemployment, on the one hand, the amount of savings and the purchasing power of the people have decreased, and on the other hand, it has reduced the sales of companies due to the increase in the pricing of manufactured products. In Iran’s economically uncertain situation due to sanctions, managers are trying to overstate financial performance and conceal bad news to have better access to financing; so, when the total amount of bad news accumulated over time reaches a tipping point, it leads to a stock crash. It also appears that when the exchange rate rises, Iranian investors prefer to buy companies’ shares to maintain the purchasing power of their money. Outcomes also confirm that larger firms and those with higher Return on Assets (ROA) are more sensitive to crash risk.
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Mwambuli, Erick Lusekelo, Zhang Xianzhi, and Zakayo S. Kisava. "Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey." Business and Economic Research 6, no. 2 (November 2, 2016): 343. http://dx.doi.org/10.5296/ber.v6i2.10245.
Повний текст джерелаАнотація:
Volatility spillover effects between stock prices and exchange rates in emerging countries are a critical focus in the financial economics research arena. This paper focused to investigate the volatility spillover effects between stock prices and exchange rates of Istanbul stock exchange (ISE) by employing an exponential generalized autoregressive condition heteroskedasticity (EGARCH) model. The period of study covered 11 years (i.e. 2005 to 2015) inclusive a period of the global financial crises (i.e. from 2005 to 2009) which resulted out from subprime mortgage in United States of America (USA).Our results suggest an existence of short run relationship between stock prices and exchange rates in Istanbul stock exchange (ISE).This empirical evidence suggest that there is symmetric volatility spillover between stock prices and exchange rates of Istanbul stock exchange (ISE) for full sample employed as a result good and bad news has got a balanced effect to the market. The findings of the significant volatility spillover effects between exchange rates and stock prices suggest that, the markets are informationally efficient and one market exchange rate has significant predictive power of equal weight to another in case of two markets. Our study recommends investors and multinational firm managers to consider the general behaviour of the financial market before making decision whether to invest in or not since there is existence of relationship and volatility spillover between stock prices and exchange rates meanwhile economic policy makers both in Turkey and outside Turkey should consider these findings in their policy as one of the determinant to economic growth, as macroeconomic variable should be stable like exchange rates. Furthermore, this study may be extended after including of other variables which were not considered in this study like interest rate, inflation and agency theory.
Дисертації з теми "Macroeconomic news. Exchange rates. Nowcasting"
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Boulter, Terry. "The efficiency of currency markets: Studies of volatility and speed of adjustment." Thesis, Queensland University of Technology, 2006. https://eprints.qut.edu.au/16472/1/Terry_Boulter_Thesis.pdf.
Повний текст джерелаАнотація:
Whether or not currency markets may be regarded as efficient or not has been a hotly debated issue in the academic literature over recent decades. Economic theory would suggest that these markets should be efficient because they are apparently good examples of a perfectly competitive market structure. On the other hand, empirical tests of the efficient market hypothesis within these currency markets unequivocally find them to be inefficient. There is still no good explanation for this conundrum and as a result a fair amount of effort is still expended on refining the empirical studies of market efficiency, a task which is taken up in the four empirical studies that comprise this thesis.
Within efficient markets, prices are predicted to respond "quickly" with the arrival of new information and the empirical work in the thesis focuses on these issues by identifying three key areas for research, namely, price adjustment and volatility, volatility and the "news", and the speed of price adjustment. In essence, the studies examine whether there is inefficient adjustment to news in terms of excessive volatility, whether or not news is actually the main driver of exchange rate volatility and whether or not "quickly" can be measured empirically.
The empirical results reported within this thesis confirm that the Australian dollar has not been an excessively volatile currency, even though the level of volatility has been increasing; that the pattern of information flow explains a significant degree of the non constant variance in the returns of the world's most actively traded currencies, (i.e. information explains price innovation); that the reaction time to macroeconomic news occurs within seconds of a pre-scheduled announcement, and that the bulk of adjustment to fundamental value occurs within the hour. These findings are consistent with what would be expected within an efficient market.
The results reported within this thesis therefore suggest that the currency markets studied are efficient, at least for the sample periods of the data used in the studies. Exchange rates adjust rapidly with information arrival albeit not completely. It is also the case that a number of additional research questions emerge from this research. For example we know that volatility is not excessive and that it is increasing. What we do not know is the point at which increasing volatility becomes excessive. We know that exchange rates react quickly with the arrival of macroeconomic news, but we do not know precisely how long it takes for volatility to return to preannouncement levels, or why the reaction to news is inconsistent. We also do not know what type of information best explains volatility above that which is explained by the systematic dissemination of information or why full adjustment to fundamental value does not occur? Answers to these questions provide a future research agenda. Answers may provide insight that will help financial economists explain the apparent failure of the speculative efficient hypothesis.
2
Boulter, Terry. "The efficiency of currency markets : studies of volatility and speed of adjustment." Queensland University of Technology, 2006. http://eprints.qut.edu.au/16472/.
Повний текст джерелаАнотація:
Whether or not currency markets may be regarded as efficient or not has been a hotly debated issue in the academic literature over recent decades. Economic theory would suggest that these markets should be efficient because they are apparently good examples of a perfectly competitive market structure. On the other hand, empirical tests of the efficient market hypothesis within these currency markets unequivocally find them to be inefficient. There is still no good explanation for this conundrum and as a result a fair amount of effort is still expended on refining the empirical studies of market efficiency, a task which is taken up in the four empirical studies that comprise this thesis. Within efficient markets, prices are predicted to respond "quickly" with the arrival of new information and the empirical work in the thesis focuses on these issues by identifying three key areas for research, namely, price adjustment and volatility, volatility and the "news", and the speed of price adjustment. In essence, the studies examine whether there is inefficient adjustment to news in terms of excessive volatility, whether or not news is actually the main driver of exchange rate volatility and whether or not "quickly" can be measured empirically. The empirical results reported within this thesis confirm that the Australian dollar has not been an excessively volatile currency, even though the level of volatility has been increasing; that the pattern of information flow explains a significant degree of the non constant variance in the returns of the world's most actively traded currencies, (i.e. information explains price innovation); that the reaction time to macroeconomic news occurs within seconds of a pre-scheduled announcement, and that the bulk of adjustment to fundamental value occurs within the hour. These findings are consistent with what would be expected within an efficient market. The results reported within this thesis therefore suggest that the currency markets studied are efficient, at least for the sample periods of the data used in the studies. Exchange rates adjust rapidly with information arrival albeit not completely. It is also the case that a number of additional research questions emerge from this research. For example we know that volatility is not excessive and that it is increasing. What we do not know is the point at which increasing volatility becomes excessive. We know that exchange rates react quickly with the arrival of macroeconomic news, but we do not know precisely how long it takes for volatility to return to preannouncement levels, or why the reaction to news is inconsistent. We also do not know what type of information best explains volatility above that which is explained by the systematic dissemination of information or why full adjustment to fundamental value does not occur? Answers to these questions provide a future research agenda. Answers may provide insight that will help financial economists explain the apparent failure of the speculative efficient hypothesis.
Книги з теми "Macroeconomic news. Exchange rates. Nowcasting"
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Galati, Gabriele. Macroeconomic news and the euro/dollar exchange rate. Basel, Switzerland: Bank for International Settlements, Monetary and Economic Dept., 2001.
Знайти повний текст джерелаТези доповідей конференцій з теми "Macroeconomic news. Exchange rates. Nowcasting"
1
Çelik, Sadullah, and Elif İşbilen. "An Unconventional Example of Big Data: BIST-100 Banking Sub-Index of Turkey." In CARMA 2018 - 2nd International Conference on Advanced Research Methods and Analytics. Valencia: Universitat Politècnica València, 2018. http://dx.doi.org/10.4995/carma2018.2018.8356.
Повний текст джерелаАнотація:
This paper applies Big Data concept to an emerging economy stock exchange market by examining the relationship between price and volume of the Banking index in BIST-100. Stock markets have been commonly analyzed in big data studies as they are one of the main sources of rich data with recordings of hourly and minutely transactions. In this sense, nowcasting the economic outlook has been related to the fluctuations in the stock exchange market as news from companies open to public became important sources of changes in expectations for economic agents. However, most of the previous studies concentrated on the main stock market indices rather than the major sub-indices. This study covers the period 13 December 2017 – 12 March 2018, with minute data and approximately 31000 observations for each of the 11 bank stocks. The effects of stock market movements on exchange rates and interest rates are also examined. The methodologies used are frequency domain Granger causality of Breitung and Candelon (2006) and wavelet coherence of Grinsted et al. (2004). The main finding is the supremacy of the banking index as it seems to have great influence on economic fluctuations in Turkish economy through other high frequency variables and the households’ expectations.