Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach

Autores
Matesanz Gómez, David; Ortega, Guillermo José
Año de publicación
2015
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events' time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.
Fil: Matesanz Gómez, David. Universidad de Oviedo. Facultad de Ciencias Económicas y Empresariales. Departamento de Economía Aplicada; España
Fil: Ortega, Guillermo José. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Quilmes; Argentina
Materia
Intraday Data
Macroeconomic Announcements
Exchange Rates
Granger Causality
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/52147
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics ApproachMatesanz Gómez, DavidOrtega, Guillermo JoséIntraday DataMacroeconomic AnnouncementsExchange RatesGranger Causalityhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events' time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.Fil: Matesanz Gómez, David. Universidad de Oviedo. Facultad de Ciencias Económicas y Empresariales. Departamento de Economía Aplicada; EspañaFil: Ortega, Guillermo José. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Quilmes; ArgentinaKavala Institute of Technology2015-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/52147Matesanz Gómez, David; Ortega, Guillermo José; Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach; Kavala Institute of Technology; Journal of Engineering Science and Technology Review; 8; 1; 1-2015; 86-901791-2377CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://www.jestr.org/index.php?option=com_content&view=article&id=38&Itemid=83info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:40:15Zoai:ri.conicet.gov.ar:11336/52147instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 09:40:15.883CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
title Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
spellingShingle Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
Matesanz Gómez, David
Intraday Data
Macroeconomic Announcements
Exchange Rates
Granger Causality
title_short Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
title_full Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
title_fullStr Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
title_full_unstemmed Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
title_sort Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
dc.creator.none.fl_str_mv Matesanz Gómez, David
Ortega, Guillermo José
author Matesanz Gómez, David
author_facet Matesanz Gómez, David
Ortega, Guillermo José
author_role author
author2 Ortega, Guillermo José
author2_role author
dc.subject.none.fl_str_mv Intraday Data
Macroeconomic Announcements
Exchange Rates
Granger Causality
topic Intraday Data
Macroeconomic Announcements
Exchange Rates
Granger Causality
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events' time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.
Fil: Matesanz Gómez, David. Universidad de Oviedo. Facultad de Ciencias Económicas y Empresariales. Departamento de Economía Aplicada; España
Fil: Ortega, Guillermo José. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Quilmes; Argentina
description This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events' time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.
publishDate 2015
dc.date.none.fl_str_mv 2015-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/52147
Matesanz Gómez, David; Ortega, Guillermo José; Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach; Kavala Institute of Technology; Journal of Engineering Science and Technology Review; 8; 1; 1-2015; 86-90
1791-2377
CONICET Digital
CONICET
url http://hdl.handle.net/11336/52147
identifier_str_mv Matesanz Gómez, David; Ortega, Guillermo José; Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach; Kavala Institute of Technology; Journal of Engineering Science and Technology Review; 8; 1; 1-2015; 86-90
1791-2377
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://www.jestr.org/index.php?option=com_content&view=article&id=38&Itemid=83
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Kavala Institute of Technology
publisher.none.fl_str_mv Kavala Institute of Technology
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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