research
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times
- Publication date
- Publisher
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.Volatility; News; Nonlinearity; Smooth Transition Models