Three Essays on Central European Foreign Exchange Markets
|Author:||Ing. Michala Moravcová (9.10.2019)|
|Year:||2019 - winter|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Dissertations
|Awards and prizes:|
|Abstract:||This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks’ monetary policy settings on the value and volatility of examined exchange rates is examined. In the last essay, the conditional comovements and volatility spillovers on new EU FX markets is analyzed. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during EU debt crisis and during currency interventions in the Czech Republic).
The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states’ currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reaction of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing that markets react even before the news is announced.