Skip to main content
Article thumbnail
Location of Repository

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

By Helinä Laakkonen and Markku Lanne

Abstract

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.

Topics: C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, G15 - International Financial Markets, F31 - Foreign Exchange
Year: 2008
DOI identifier: 10.2202/1558-3708.1637
OAI identifier: oai:mpra.ub.uni-muenchen.de:8296

Suggested articles


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.