Do Australian and the US macroeconomic news announcements affect the USD/AUD exchange rate? Some evidence from E-GARCH estimations
نویسنده
چکیده
This paper examines the effects of scheduled Australian and US macroeconomic announcements on daily USD/AUD exchange rate changes. EGARCH(1,1) models are used to investigate news effects on the conditional mean and volatility of the changes over various time horizons encompassing the announcements. A higher than expected Australian current account deficit announcement depreciated the AUD while an unexpectedly higher Australian GDP growth rate appreciated it on the announcement day during the Australian market trading. The conditional volatility was higher in response to the Australian current account deficit and inflation news, while the retail sales news lowered it. The US announcements, in general, had little effect during the US market trading, however, news effects measured over wider time horizon encompassing the next calendar day’s Australian trading turned out to be more significant. Unexpectedly large US trade deficit and unemployment announcements appreciated the AUD while the trade deficit and retail sales news raised the conditional volatility and the unemployment news lowered it. © 1998 Elsevier Science B.V. All rights reserved. JEL classification: F31; G14
منابع مشابه
Do macro-economic news announcements affect the volatility of foreign exchange rates? Some evidence from Australia
This paper investigates the role of Australian macro-economic announcement news on ® ve major Australian dollar (AUD) exchange rates. Speci® cally, the daily changes of the exchange rates are modelled to ascertain the existence and the nature of the news e ects in the conditional mean and variance of the changes. It is found that a higher than expected current account de® cit and unemployment ...
متن کاملInternational Linkages and Macroeconomic News Effects on Interest Rate Volatility – Australia and the US
We examine international linkages between daily time series of US and Australian 3 month Treasury Bills and 10 year Government Bonds from 1987-95, paying particular attention to the effects of macroeconomic announcements in both countries. The 2 country’s interest rate data are modeled by a bivariate EGARCH formulation. The results suggest that market participants believed the Reserve Bank of A...
متن کاملThe Comparison among ARIMA and hybrid ARIMA-GARCH Models in Forecasting the Exchange Rate of Iran
This paper attempts to compare the forecasting performance of the ARIMA model and hybrid ARMA-GARCH Models by using daily data of the Iran’s exchange rate against the U.S. Dollar (IRR/USD) for the period of 20 March 2014 to 20 June 2015. The period of 20 March 2014 to 19 April 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...
متن کاملThe Effects of Oil Price Movement on Nigerian Macroeconomic Variables: Evidence from Linear near and Nonlinear ARDL Modelling
T he study seeks to investigate both linear and nonlinear effects of oil price movement on critical macroeconomic variables (output, price and exchange rate) in Nigeria using ARDL modeling approach. Previous studies substantially relied on linear methods using VAR approach to unravel this links without a clear conclusion. In an attempt to seek better results in this study, we employ both l...
متن کاملEffects of U.S. Macroeconomic Shocks on International Commodity Prices: Emphasis on Price and Exchange Rate Pass-through Effects
Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block ...
متن کامل