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dc.contributor.authorWang, Jiahui
dc.date.accessioned2015-05-21T13:58:40Z
dc.date.available2015-05-21T13:58:40Z
dc.identifier.urihttp://hdl.handle.net/10464/6429
dc.description.abstractThis thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectexchange ratesen_US
dc.subjectjumps and cojumpsen_US
dc.subjectmacroeconomic newsen_US
dc.subjectsmooth transition regression modelen_US
dc.subjectcrisisen_US
dc.titleMacroeconomic News Effects and Foreign Exchange Jumpsen_US
dc.typeElectronic Thesis or Dissertationen
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
refterms.dateFOA2021-07-16T09:59:12Z


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