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dc.contributor.author
Matesanz Gómez, David
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dc.contributor.author
Ortega, Guillermo José
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dc.date.available
2018-07-16T14:25:02Z
dc.date.issued
2015-01
dc.identifier.citation
Matesanz Gómez, David; Ortega, Guillermo José; Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach; Kavala Institute of Technology; Journal of Engineering Science and Technology Review; 8; 1; 1-2015; 86-90
dc.identifier.issn
1791-2377
dc.identifier.uri
http://hdl.handle.net/11336/52147
dc.description.abstract
This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events' time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Kavala Institute of Technology
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc/2.5/ar/
dc.subject
Intraday Data
dc.subject
Macroeconomic Announcements
dc.subject
Exchange Rates
dc.subject
Granger Causality
dc.subject.classification
Economía, Econometría
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dc.subject.classification
Economía y Negocios
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dc.subject.classification
CIENCIAS SOCIALES
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dc.title
Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-07-03T13:51:07Z
dc.journal.volume
8
dc.journal.number
1
dc.journal.pagination
86-90
dc.journal.pais
Grecia
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dc.journal.ciudad
Kavala
dc.description.fil
Fil: Matesanz Gómez, David. Universidad de Oviedo. Facultad de Ciencias Económicas y Empresariales. Departamento de Economía Aplicada; España
dc.description.fil
Fil: Ortega, Guillermo José. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Quilmes; Argentina
dc.journal.title
Journal of Engineering Science and Technology Review
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/http://www.jestr.org/index.php?option=com_content&view=article&id=38&Itemid=83
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