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首页> 外文期刊>International economic journal >The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates
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The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates

机译：美国宏观经济意外对外汇汇率当日波动的影响：以美元兑欧元和美元兑日元汇率为例

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摘要

This paper characterizes the intraday dynamics of the high frequency US Dollar (USD)-Euro (EUR) and US Dollar (USD)-Japanese Yen (JPY) foreign exchange rates that have been subject to macroeconomic fundamentals. Even though the FIGARCH model with a normality assumption is found to be a good starting point, it appears to be inappropriate to represent the underlying movements of the high frequency returns due to the occurrences of jumps. Hence, this paper relies on the FIGARCH model with the mixture distribution that allows for the time-varying jumps that are determined by the US macroeconomic surprises. This paper generally finds that the US macroeconomic surprises are closely related to the intraday movements in the volatility process of the high frequency returns process through the jumps. In particular, the US macroeconomic surprises appear to affect the movements in the volatility process of the foreign exchange rates asymmetrically depending on the signs of the surprises and spuriously increasing the long memory persistence in the volatility process due to the jumps.
机译：本文描述了受宏观经济基本面影响的高频美元（USD）-欧元（EUR）和美元（USD）-日元（JPY）汇率的日内动态。即使发现具有正常性假设的FIGARCH模型是一个很好的起点，但由于发生跳变，似乎也不适合代表高频回波的基本运动。因此，本文依赖于具有混合分布的FIGARCH模型，该分布允许由美国宏观经济意外因素决定的时变跳跃。本文总体上发现，美国宏观经济意外与通过跳高产生的高频收益率过程的波动过程中的日内走势密切相关。尤其是，美国的宏观经济意外事件似乎会根据意外事件的迹象非对称地影响外汇汇率波动过程的变化，并由于波动而虚假地增加了波动过程中长期记忆的持久性。

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