| By: |
Evzen Kocenda (Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic; CES, Munich, Germany; IOS, Regensburg, Germany);
Michala Moravcova (Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic) |
| Abstract: |
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news
announcements and the communication of the monetary policy settings of the ECB
and the Fed on the forex markets of new EU members. We employ an Event Study
Methodology to analyze intra-day data from 2011–2015. Our comprehensive
analysis of the wide variety of macroeconomic information during the post-GFC
period shows that: (i) macroeconomic announcements affect the value of the
new-EU-country exchange rates, (ii) the origin of the announcements matters,
(iii) the type of announcement also matters, (iv) different types of news
(good, bad, or neutral) result in different reactions, (v) markets react not
only after the news release but also before, (vi) when the U.S. dollar is a
base currency the impact of the news is larger than in case of the euro, (vii)
announcements on ECB monetary policy result in stronger effects than those of
the Fed, and (viii) temporary inefficiencies are present on the new-EU-country
forex markets. |
| Keywords: |
foreign exchange markets; intraday data; abnormal returns; event study; macroeconomic announcements; monetary policy settings; European Union; new EU members |
| JEL: |
C52 F31 F36 G15 P59 |
| Date: |
2016–09 |
| URL: |
http://d.repec.org/n?u=RePEc:fau:wpaper:wp2016_20&r=ifn |