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dc.contributor.authorWang, Jiayu
dc.date.accessioned2019-05-10T14:11:30Z
dc.date.available2019-05-10T14:11:30Z
dc.identifier.urihttp://hdl.handle.net/10464/14108
dc.description.abstractThis study explores the effect of four public communication attributes and macroeconomic news surprises on the conditional mean, volatility, and the jump components of the euro-dollar, pound-dollar, and yen-dollar foreign exchange rates from November 1st, 2004 to February 28th, 2015. We extract key attributes from central bank senior official speeches and examine their impact on currencies. We show that price diffusion components respond differently to such attributes across economic states. In addition, volatility exhibits the highest response to the four attributes during the US crisis compared to return and jump components. We find that even though the central bank chairman position has significant impact in general on the price diffusion components, some chairmen have no effect. Yet, the name and personality of the central bank officials matter for the foreign exchange market. We also find that the market fluctuates significantly to speeches related to Economy, Monetary, Interest rate and Real Estate Market during the US crisis. Additionally, central banks play important roles in influencing the market. ECB has a significant effect on returns across all three currencies during the US crisis and plays an important role by affecting the volatility during all periods. Moreover, the central bank chairman can generate greater market reaction than the other positions as it consistently increases the volatility across our sample.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectPublic communicationsen_US
dc.subjectMacroeconomic newsen_US
dc.subjectFinancial crisisen_US
dc.subjectExchange ratesen_US
dc.subjectHigh-frequency dataen_US
dc.titlePublic Communications and the Foreign Exchange Risk Around the Global Financial Crisisen_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
refterms.dateFOA2021-08-14T01:44:42Z


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