Macroeconomic news, public communications, and foreign exchange jumps around U.S. and European financial crises

Ayadi, Mohamed; Omrane, Walid Ben; Wang, Jiahui; Welch, Robert L.

doi:10.1002/ijfe.1747

Cited by 14 publications

(3 citation statements)

References 61 publications

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“…These levels of abnormal variation are mainly the result of speeches by senior European officials. Ayadi et al (2020) reported that scheduled news announcements and speeches have a significant effect on jumps, but scheduled news is more influential than speeches because it is announced more frequently. They also showed that speeches by the Fed, the ECB and the Bank of England officials significantly impact price increases.…”

Section: Literature Reviewmentioning

confidence: 99%

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Senior official speeches and severe price discontinuities in the foreign exchange market

Ayadi,

Ben Omrane,

Wang

et al. 2023

SEF

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Purpose This study aims to better understand the effects of speeches as a valuable communication tool for central banks. It extends the analysis of the effects of public speeches on jumps to determine whether individual speakers matter partly because of their name, position or institution. Design/methodology/approach This study detects intraday jumps using a robust-to-jump volatility estimator that accounts for deterministic seasonality. As a result, this study removes spurious jumps that occur when volatility is high and consider the relatively small jumps that occur when volatility is low. After identifying jumps, this study examines their reactions to senior official speeches and macroeconomic news surrounding the US and European Union (EU) financial crises. Findings Despite having the most influential individual speakers, this study finds that the impact of the Federal Reserve (Fed) and European Central Bank (ECB) is mitigated because the two institutions have a relatively small impact on currency jumps. This finding shows that the speaker’s name is more important than his or her institution affiliation. While the Federal Reserve Bank President and Chief Executive, as well as ECB board members, significantly reduce jump sizes, particularly during the EU crisis period, both the Fed Chairman and the ECB President increase the magnitude of the jump in both the US crisis and noncrisis periods, contributing to market instability. Practical implications The implications of the results include international portfolio management, currency derivatives pricing and hedging, risk management and market efficiency. Originality/value The findings contribute to a better understanding of the effects of senior official speech attributes on currency jumps in various economic states. The results raise questions about the speaker’s name, institution and position’s effectiveness in calming markets and reducing uncertainty.

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Section: Literature Reviewmentioning

confidence: 99%

“…2. Please see Ayadi et al (2020, 2022), Dewachter et al (2014), Blinder et al (2008), Fratzscher (2006) and Ehrmann and Fratzscher (2007).…”

Section: Notesmentioning

confidence: 99%

Senior official speeches and severe price discontinuities in the foreign exchange market

Ayadi,

Ben Omrane,

Wang

et al. 2023

SEF

Self Cite

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“…Price movements in financial assets are originated in an event-based approach, such as news or announcement of political-economic origin. The events influence in economic agent decisions to maintain national or foreign assets (Andersen, Bollerslev, & Dievold, 2007;Ayadi, Omrane, Wang, & Welch, 2019). Factors such as inflation and interest rate differentials between countries generate volatility in the exchange rate (Jeelani, Tomar, Das, & Das, 2019).…”

Section: Introductionmentioning

confidence: 99%

Exchange rate and volatility: A bibliometric review

Flores‐Sosa¹,

Avilés‐Ochoa²,

Merigó

2020

Int. J Fin Econ

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The exchange rate is one of the most important prices in open economies.Exchange rate volatility (ERV) has been studied in terms of its measurement, forecast and impact and relationship with other variables. This article proposes a bibliometric analysis of ERV compared with two databases Web of Science and Scopus. The number of data obtained reflects the importance of the topic in scientific research. In addition, we identify authors, institutions and countries of great influence studying currency volatility. The evolution of the study through time shows the increase in attention on the topic. VOS viewer software has been used to create graphic maps and visualize the connections existing in the study.

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The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets

Omrane

Guesmi

et al. 2021

Ann Oper Res

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Macroeconomic news, public communications, and foreign exchange jumps around U.S. and European financial crises

Cited by 14 publications

References 61 publications

Senior official speeches and severe price discontinuities in the foreign exchange market

Senior official speeches and severe price discontinuities in the foreign exchange market

Exchange rate and volatility: A bibliometric review

The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets

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