{"product_id":"theoretical-and-empirical-analysis-of-exchange-rate-communication-von-andreas-grun-thomas-lange","title":"Theoretical and Empirical Analysis of Exchange Rate Communication","description":"\u003cp\u003eSeminar paper from the year 2007 in the subject Economics - Finance, grade: 1,0, Otto Beisheim School of Management Vallendar, course: Seminar in International Finance, language: English, abstract: The overall aim of this paper is first to review existing papers and based on this to conduct own research in the field of the effect of macroeconomic news in general and, more specific, \u003c\/p\u003e\u003cp\u003eECB communication on exchange rates.  \u003c\/p\u003e\u003cp\u003eExchange  rate  communication  is  a  special  form  of macroeconomic  news  that  is  issued  by central  banks.  Existing  research  on  the  effect  of  this  communication  has  lead  to  often diverging result that illustrate the high intensity and dynamics of the current academic debate with regard to this matter. On one hand evidence of a relatively high impact on the mean and volatility of currency markets is found (e.g. by Fratzscher (2004)) whereas others (e.g. Jansen, de Haan (2005)) do not chronicle statistically significant and persistent results. The difficulty of   understanding   the response   of   currency   markets   becomes   even   harder   when   the significance  of  the  respective  context  of  news  e.g.  day  of  the  week  effect  is  considered  or asymmetric responses are taken into account.  \u003c\/p\u003e\u003cp\u003eAmong the group of central banks especially the European Central Bank has attracted high attention  in  academic  research.  Preceding  studies  generally  create  dummy  variables  to measure  ECB  communication.  These  variables  are  then  by  different  methods  regressed against the exchange rate or other financial assets in order to find explanatory relationships. This  paper  follows  this  approach  by  using  the  dummy  variable  of  Rosa,  Verga  (2006). \u003c\/p\u003e\u003cp\u003eUltimately  we  arrive  at  three  major  findings  using  our  dataset.  (a)  Communication  and interest  changes  by  central  banks  are  interpreted  differently  by  currency  markets:  While \u003c\/p\u003e\u003cp\u003ecommunication  that  suggests  raising  interest  rates  seems  to  be  an  alarming  warning  signal with  regard  to  possible  inflation,  interest  rate  increases  see  to  be  interpreted  as  attempts  to mitigate  this  danger.  (b)  There  are  indicators  that  the  exchange  rate  reacts  more  slowly  to news  coming  from  the  U.S.  (c)  Based  not  on  high  frequency  but  on  daily  data  we  merely arrive  at  results  that  do  not  allow  us  to  reject  the  null  hypothesis  that  exchange  rate communication actually does not have a significant impact on exchange rate returns.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783656004080\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783656004080","offer_id":39426819391581,"sku":"9783656004080","price":18.95,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/27d672df-357b-42c0-9032-9bc744e6d850.jpg?v=1777871731","url":"https:\/\/shop.autorenwelt.de\/en\/products\/theoretical-and-empirical-analysis-of-exchange-rate-communication-von-andreas-grun-thomas-lange","provider":"Autorenwelt Shop","version":"1.0","type":"link"}