Monetary information arrivals and intraday exchange rate volatility : a comparison of the GARCH and the EGARCH models

In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1), using high-frequency data (five minutes frequency) which integrates a polynomials structure depending on signal variables, starting from the deseasonalized exchange rate returns series. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process.Exchange rate, official intervention, monetary policy, GARCH models.

Monetary information arrivals and intraday exchange rate volatility : a comparison of the GARCH and the EGARCH models

URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htmDocuments de travail du Centre d'Economie de la Sorbonne 2007.35 - ISSN : 1955-611XIn this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1), using high-frequency data (five minutes frequency) which integrates a polynomials structure depending on signal variables, starting from the deseasonalized exchange rate returns series. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process.Dans cet article, nous examinons la persistance de la volatilité intra-journalière du taux de charge euro-dollar résultant de l'impact dissymétrique des signaux de politique monétaire issus des réunions du Conseil de la BCE et du FOMC. Pour ce faire, et à partir de la série désaisonnalisée de rendements du taux de change utilisant des données à haute fréquence (fréquence de cinq minutes), nous développons le modèle AR(1)-GARCH (1.1) en un processus exponentiel EGARCH (1.1) qui incorpore une structure polynomiale, elle même fonction des variables de signal. Les résultats montrent que, malgré l'efficience des marchés, les meilleures prévisions de volatilité sont dérivées du processus EGARCH(1,1)

The Causal Links between Economic Growth, Renewable Energy, Financial Development and Foreign Trade in Gulf Cooperation Council Countries

This paper examines the causal relationship between renewable energy consumption, real GDP, trade and financial development for the GCC countries during the period 1980-2012. Compared to the previous studies, our models are extended by including the financial development as macroeconomic factor. The results indicate bidirectional causality in both short and long-run between output and exports. While, there is no evidence of causality in the short-run between output and renewable energy consumption or private sector credit and between exports and renewable energy consumption or private sector credit. Moreover, the long-run estimated results indicate that there is evidence of a statistically significant impact of renewable energy consumption, exports and private sector credit on output. Our finding indicates that renewable energy use and exports are able to increase the economic growth for the GCC countries. Nevertheless, we find negative impact of the financial development on economic growth related to the deflationary monetary policy of the considered countries. Keywords: Granger Causality, Panel Cointegration, Renewable Energy Consumption, Economic Growth, Financial Development; Trade; GCC Countries JEL Classifications: C33; O24; Q4

Monetary information arrivals and intraday exchange rate volatility : A comparison of the GARCH and the EGARCH models.

In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1), using high-frequency data (five minutes frequency) which integrates a polynomials structure depending on signal variables, starting from the deseasonalized exchange rate returns series. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process.Exchange rate, official intervention, monetary policy, GARCH models.