宏观经济新闻、高级官员讲话和新兴货币市场：价格跳跃反应的盘中分析

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2024-05-03 DOI:10.1016/j.ememar.2024.101147

Mohamed A. Ayadi, Walid Ben Omrane, Deepan Kumar Das

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引用次数: 0

摘要

我们研究了新兴货币对国内外宏观经济新闻公告以及美国高级官员讲话的盘中跳动反应。我们使用稳健跳跃波动率估计器来估计货币跳跃。我们提供的证据表明，新兴货币跳空和共同跳空都对美国货币政策和实际活动新闻发布做出了显著和明显的反应。此外，我们还发现，国内货币政策和经济实际活动数据以及美联储高级官员的讲话会引发新兴货币的大幅跳水，导致货币大幅波动，从而破坏市场稳定，削弱经济韧性，并可能降低 ESG 评级。

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Macroeconomic news, senior officials' speeches, and emerging currency markets: An intraday analysis of price jump reaction

We examine intraday emerging currency jumps in response to domestic and foreign macroeconomic news announcements, as well as US senior officials' speeches. We use the robust-to-jump volatility estimator to estimate currency jumps. We provide evidence that both emerging currency jumps and cojumps exhibit significant and pronounced responses to US monetary policy and real activity news releases. Moreover, we find that domestic monetary policy and economic real activity data, and senior Federal Reserve officials' speeches, trigger significant jumps in emerging currencies, leading to large currency fluctuations that would disrupt market stability, undermining economic resilience and potentially diminishing ESG ratings.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.