Work detail

Anglický překlad The impact of the Czech National Bank's communication on exchange rate: A GARCH evidence

Author: Bc. Radovan Fišer
Year: 2008 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Bachelors
Language: Czech
Pages: 80
Awards and prizes: B.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good bachelors diploma thesis.
Link:
Abstract: This study surveys the recent literature on the topic of central banks communication and empirically analyses the impact of both the Czech National Bank's communication and the macroeconomic news releases on the volatility of the CZK/EUR exchange rate. It does so using the GARCH model which is presented in detail. The originality of this study lies in the fact that it is the first attempt to study the effect of the CNB's communication on the volatility of the exchange rate. The main finding is that the Czech National Bank's communication, as well as the releases of the macroeconomic news decrease volatility.
Downloadable: Bachelor Thesis of Fišer Radovan
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