Show simple item record

dc.contributor.authorZhou, Xinyao
dc.date.accessioned2014-05-02T15:55:47Z
dc.date.available2014-05-02T15:55:47Z
dc.date.issued2014-05-02
dc.identifier.urihttp://hdl.handle.net/10464/5406
dc.description.abstractAlthough the link between macroeconomic news announcements and exchange rates is well documented in recent literature, this connection may be unstable. By using a broad set of macroeconomic news announcements and high frequency forex data for the Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov 1, 2004 to Mar 31, 2014, we obtain two major findings with regards to this instability. First, many macroeconomic news announcements exhibit unstable effects with certain patterns in foreign exchange rates. These news effects may change in magnitude and even in their sign over time, over business cycles and crises within distinctive contexts. This finding is robust because the results are obtained by applying a Two-Regime Smooth Transition Regression Model, a Breakpoints Regression Model, and an Efficient Test of Parameter Instability which are all consistent with each other. Second, when we explore the source of this instability, we find that global risks and the reaction by central bank monetary policy to these risks to be possible factors causing this instability.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectsmooth transition regression modelen_US
dc.subjectbreakpoints regression modelen_US
dc.subjectunstable macroeconomic news effectsen_US
dc.subjecthigh frequency dataen_US
dc.subjectexchange rateen_US
dc.titleMacroeconomic News and Exchange Rates: Evidence of Unstable Effecten_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
dc.embargo.termsNoneen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record