The impact of macroeconomic news announcements on the value and volatility of selected foreign exchange rates in EU
|Author:||Bc. Peter Bubniak|
|Year:||2019 - summer|
|Leaders:|| Mgr. Nicolas Fanta
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||This work analyzes the influence of positive and negative macroeconomic news on the
value of exchange rate and volatility. We have chosen EUR/USD, EUR/CZK and USD/CZK
as our exchange rates. The influence of macroeconomic news published by Czech national bank
and European central bank were analysed. For our purposes were used econometric models
GARCH(1,1) and EGARCH(1,1) with both Normal and Student´s distribution of error terms.
One of the major outcomes were the importance of macroeconomic news on value and volatility
on the exhcange rates. For each exchange rate has effect different macroeconomic index. The
crucial are: Consumer price index and Harmonised Index of Consumer Pirces, unemplyoment
rate and PRIBOR and EURIBOR. Another conclusion was that our financial dataset displays
the main nature of volatility.