1. The impact of macroeconomic news on the euro-dollar exchange rate. 2. Nowcasting Mexican GDP.1. The impact of macroeconomic news on the euro-dollar exchange rate. 2. Nowcasting Mexican GDP.LUISS PhD Thesi

Caruso, Alberto

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Essays in applied macroeconomics

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1. The impact of macroeconomic news on the euro-dollar exchange rate. 2. Nowcasting Mexican GDP

CARUSO, ALBERTO

Tesi di dottorato di Alberto Caruso discussa presso la LUISS Guido Carli il 15 Giugno 2015 - soggetta a copyrightEssays in appliedmacroeconomicsAlberto CarusoDottorato in EconomicsXXVI CicloABSTRACTDipartimento di Economia e FinanzaRelatore Prof. Giuseppe RagusaTesi di dottorato di Alberto Caruso discussa presso la LUISS Guido Carli il 15 Giugno 2015 - soggetta a copyrightAbstractIn the first chapter I evaluate the effect of macroeconomic "news" (marketnow-cast errors related to the flow of data releases on macroeconomic funda-mentals) on the daily USD/EUR exchange rate. I consider a large numberof real-time macroeconomic announcements from both the US and the euro-zone, and the related market expectations as reported by Bloomberg. Forthe euro-zone I also study country level announcements for the four biggesteconomies (Germany, France, Italy, Spain). The results for the whole sample(1999-2012) show that both the "news" associated to euro-zone releases andthose associated to US ones have a significant impact on the USD/EUR ex-change rate. However, the effect of the euro-zone "news" has become largersince the 2008 crisis and it is now more sizeable than that of the US "news".In the second chapter I study the flow of conjunctural data for the Mexi-can economy. I reconstruct the flow of releases that are most frequently mon-itored by market participants, economic commentators and policy makers.Following the literature on nowcasting, I jointly analyse the macroeconomicdata in a model that is continuously updated as new data get released. Themodel can be used to assess the current macroeconomic conditions (predict-ing the present) of the Mexican economy and to evaluate the importanceof each macroeconomic data release. Moreover, it produces forecasts whoseaccuracy is similar to the one of institutional and judgemental forecasts.

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https://iris.luiss.it/retrieve/handle/11385/200994/109738/20150615-caruso-abstract-eng.pdf

Essays in applied macroeconomics

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Archivio della ricerca- LUISS Libera Università Internazionale degli Studi Sociali Guido Carli di Roma

Archivio della ricerca- LUISS Libera Università Internazionale degli Studi Sociali Guido Carli di Roma