The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar]
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2001
- handle: 10670/1.hbu9e9
- hal: hal-02878015
- doi: 10.2307/3503053
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info:eu-repo/semantics/altIdentifier/doi/10.2307/3503053
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Aurélie Boubel et al., « The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar] », HAL-SHS : économie et finance, ID : 10.2307/3503053
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In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurrence and to reveal a dissymmetry between the effect of the Bundesbank and the Federal Reserve signals on the exchange rate volatility.