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Description
  • We examine the effects of the Czech National Bank communication, macroeconomic news and interest rate differential on exchange rate volatility using generalized autoregressive conditional heteroscedasticity model. Our results suggest that central bank communication has a calming effect on exchange rate volatility. The timing of central bank communication seems to matter, too, as financial markets respond more to the communication before the policy meetings than after them. Next, macroeconomic news releases are found to reduce exchange rate volatility, while interest rate differential seems to increase it.
  • We examine the effects of the Czech National Bank communication, macroeconomic news and interest rate differential on exchange rate volatility using generalized autoregressive conditional heteroscedasticity model. Our results suggest that central bank communication has a calming effect on exchange rate volatility. The timing of central bank communication seems to matter, too, as financial markets respond more to the communication before the policy meetings than after them. Next, macroeconomic news releases are found to reduce exchange rate volatility, while interest rate differential seems to increase it. (en)
Title
  • Central bank communication and exchange rate volatility: a GARCH analysis
  • Central bank communication and exchange rate volatility: a GARCH analysis (en)
skos:prefLabel
  • Central bank communication and exchange rate volatility: a GARCH analysis
  • Central bank communication and exchange rate volatility: a GARCH analysis (en)
skos:notation
  • RIV/00216208:11230/10:10101409!RIV12-GA0-11230___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP402/10/0448), Z(MSM0021620841)
http://linked.open...iv/cisloPeriodika
  • 1
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 249896
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11230/10:10101409
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • GARCH; exchange rate; central bank communication (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV
  • [A4D1AEA3C846]
http://linked.open...i/riv/nazevZdroje
  • Macroeconomics and Finance in Emerging Market Economies
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 3
http://linked.open...iv/tvurceVysledku
  • Horváth, Roman
  • Fišer, Radovan
http://linked.open...n/vavai/riv/zamer
issn
  • 1752-0843
number of pages
http://bibframe.org/vocab/doi
  • 10.1080/17520840903498099
http://localhost/t...ganizacniJednotka
  • 11230
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