作者:Liu, Y (Liu, Yang)[ 1 ] ; Han, LY (Han, Liyan)[ 1 ] ; Yin, LB (Yin, Libo)[ 2 ]
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
卷: 61页: 126-142
DOI: 10.1016/j.irfa.2018.10.005
出版年: JAN 2019
文献类型:Article
摘要
We apply the GARCH-MIDAS-X component framework to investigate the effect of news uncertainty on long-term exchange rate volatility. Strong empirical results reveal that market-wide information, news implied volatility (NVIX), plays an incremental role in explaining the secular volatility of FX markets relative to specific news announcements. In addition, our analysis distinguishes five sources of NVIX: Financial Intermediation, Stock Markets, Government, Natural Disasters and War. The evidence related to the five sub-indexes suggests that news regarding Financial Intermediation, Stock Markets and Government have a more significantly positive, long-run spillover impact on the volatilities of currencies. Moreover, although natural disasters and wars are rare, the news regarding them produces highly destructive impacts on society and exerts an influence on relevant currencies.
关键词
作者关键词:News implied volatility; Foreign exchange market; Long-term volatility; Incremental effect; GARCH-MIDAS-X model
KeyWords Plus:HIGH-FREQUENCY RESPONSE; TIME PRICE DISCOVERY; STOCK-MARKET; MONETARY-POLICY; RATE DYNAMICS; INFORMATION; NOISE; ANNOUNCEMENTS; INTERVENTION; INTERNET
通讯作者地址:
Central University of Finance & Economics Cent Univ Finance & Econ, Sch Finance, 39 South Coll Rd, Beijing 100081, Peoples R China.
通讯作者地址: Yin, LB (通讯作者)
