...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Applied financial letters >A wavelet transform analysis of the relationship between unexpected macroeconomic news and foreign exchange rates
【24h】

A wavelet transform analysis of the relationship between unexpected macroeconomic news and foreign exchange rates

机译：关于意外宏观经济新闻与汇率之间关系的小波变换分析

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This study applies the wavelet transform technique to analyse the relationship between exchange rates of major currencies and the unexpected macroeconomic news. Hourly closing exchange rates of major currencies from 2000 to 2009 are utilized for wavelet analysis and those of 2010 are used for ex ante test. It is found that JPY and CHF are the most affected exchange rates, which are followed by EUR and GBP. The least affected exchange rates are AUD and CAD. In general, the most influential news is NFP, which is followed by ISM_M. These two factors have an impact on at least four currency exchange rates in the short, intermediate and long terms. UR is a short-term factor and the effect of NFP lasts for all the three time horizons considered. Ex ante test is carried out and the accuracy rates for EUR, AUD, GBP, CAD, CHF and JPY are 0.75, 0.5, 0.67, 0.83, 0.83 and 0.58, respectively.
机译：本研究运用小波变换技术来分析主要货币汇率与意外的宏观经济新闻之间的关系。小波分析采用2000年至2009年主要货币的每小时收盘汇率，事前检验采用2010年的汇率。发现日元和瑞士法郎是受影响最大的汇率，其次是欧元和英镑。受影响最小的汇率是澳元和加元。通常，最有影响力的新闻是NFP，其次是ISM_M。这两个因素在短期，中期和长期都至少影响四种货币汇率。 UR是一个短期因素，NFP的影响在所考虑的所有三个时间范围内都持续存在。进行了事前测试，欧元，澳元，英镑，加元，瑞士法郎和日元的准确率分别为0.75、0.5、0.67、0.83、0.83和0.58。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号