کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069537 1476990 2015 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Intraday exchange rate volatility transmissions across QE announcements
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Intraday exchange rate volatility transmissions across QE announcements
چکیده انگلیسی
This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR and JPY, and (iii) a “calming down” impact on the volatility of EUR and GBP from the BoJ and the ECB announcements, respectively.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 14, August 2015, Pages 128-134
نویسندگان
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