Exchange rate volatility response to macroeconomic news during the global financial crisis

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dc.citation.epage143en_US
dc.citation.spage130en_US
dc.citation.volumeNumber52en_US
dc.contributor.authorBen Omrane, Waliden_US
dc.contributor.authorSavaşer, Tanselien_US
dc.date.accessioned2018-04-12T11:11:37Z
dc.date.available2018-04-12T11:11:37Z
dc.date.issued2017en_US
dc.departmentFaculty of Business Administrationen_US
dc.description.abstractWe investigate the volatility reaction to macroeconomic news in major currency markets during the recent global financial crisis. We first present an alternative method for determining the changes in economic states by endogenously estimating crisis thresholds. Second, we assess which macroeconomic indicator gave the earliest warning signal for the upcoming contraction. Third, we investigate whether there is a systematic change in the volatility reaction of exchange rates to news during the crisis period. We find that the estimated logistic transition function based on the housing starts data exhibits the earliest warning signal compared to other indicators. Our results suggest that although volatility response to most news indicators is larger in expansion, currency market reaction to new home sales and Fed funds rate news is larger in the crisis period. We attribute this finding to the context-specific relevance of the housing and credit sectors in the evolution of the global financial crisis.en_US
dc.embargo.release2019-07-01en_US
dc.identifier.doi10.1016/j.irfa.2017.05.006en_US
dc.identifier.issn1057-5219
dc.identifier.urihttp://hdl.handle.net/11693/37371
dc.language.isoEnglishen_US
dc.publisherElsevier Inc.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.irfa.2017.05.006en_US
dc.source.titleInternational Review of Financial Analysisen_US
dc.subjectExchange ratesen_US
dc.subjectGlobal financial crisisen_US
dc.subjectHigh-frequency dataen_US
dc.subjectMacroeconomic newsen_US
dc.subjectVolatilityen_US
dc.titleExchange rate volatility response to macroeconomic news during the global financial crisisen_US
dc.typeArticleen_US

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