A wavelet transform analysis of the relationship between unexpected macroeconomic news and foreign exchange rates/ created by Show-Lin Chen, Ching-Chin Chou and Nen-Jing Chen

By:

Chen, Show-Lin [author]

Contributor(s):

Material type: Text

TextSeries: Applied economics letters ; Volume 20, number 3New York: Taylor and Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

13504851

Subject(s):

Unexpected macroeconomic news -- Wavelet transform -- Currency rates

LOC classification:

HB1.666 APP

Online resources:

Click here to access online

Abstract: 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.

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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol. 20, no.3 (pages 292-296)	SP17971	Not for loan	For in house use only

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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.

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