تاثیر خبرهای کلان و ارتباطات بانک مرکزی در بازارهای فارکس اروپا

We employ a two-stage empirical strategy to analyze the impact of macroeconomic news and central bank communication on the exchange rates of three Central and Eastern European (CEE) currencies against the euro. First we estimate the nominal equilibrium exchange rate based on a monetary model. Second, we employ a high-frequency GARCH model to estimate the effects of the news and communication along with the estimated exchange rate misalignment on the exchange rate as well as its volatility. The analysis is performed during the pre-crisis (2004–2007) and crisis (2008–2009) periods. CEE currencies react to macroeconomic news during both periods in an intuitive manner that corresponds to exchange rate-related theories. However, the responsiveness of the currencies to central bank verbal interventions becomes important only during the crisis period.

Whether and how financial markets react to the various types of information flowing into them has long been a subject of intense research. Blinder et al. (2008) document the clear influence of central bank communication on financial markets in developed countries. Andersen et al. (2007) produce similar evidence with respect to macroeconomic announcements. Empirical evidence on the effects of these two types of news has also been provided specifically for exchange rates (Andersen et al., 2003, Barndorff-Nielsen and Shephard, 2006, Ehrmann and Fratzscher, 2007 and Evans and Lyons, 2008). Most of the research focuses on developed countries, however. We contribute to the literature by focusing on European emerging markets and show that their currencies are responsive to both macro news and central bank communications in general but their responsiveness differs in the periods before and during the crisis. Exchange rates, similar to other financial market instruments, are quite responsive to developments in the real economy that are channeled to the market via macroeconomic news releases. Cavusoglu (2010) surveys the relevant literature and provides extensive evidence that developments in macroeconomic fundamentals are important for exchange rate movements. Similar to stocks, negative news have a larger impact than positive news of the same magnitude (Andersen et al., 2003, Galati and Ho, 2003 and Laakkonen, 2007). These effects change over time (Galati and Ho, 2003) and differ with the specific type of macroeconomic news (Edison Hali, 1997 and Ehrmann and Fratzscher, 2007). Evans and Lyons (2008) and Laakkonen (2007) argue that a large part of the effects of macroeconomic news should be attributed to order flows and Fratzscher (2006) and Laakkonen (2007) show that macroeconomic news releases have produced about 15% of the exchange rate variation. From the mid-1990s monetary authorities, especially in the US and the Eurozone, began to favor verbal interventions on account of foreign exchange sales and purchases (Fratzscher, 2006). Further, since the beginning of the financial crisis in 2008 it has become evident that for numerous central banks their communication has become an important tool for policymaking as well as expectations management. The impact of central bank verbal communications has become highly relevant during the recent period of turmoil with zero bound interest rates limiting traditional monetary policy steps and verbal interventions might represent one of the important policy channels. Central bank communication became more important in influencing the exchange rate via the coordination channel (Cavusoglu, 2010). Official statements of the ECB about the euro-dollar exchange rate were shown by Fratzscher, 2004 and Fratzscher, 2006 to have both short- and long-run effects on the exchange rate, plus they were effective even without being accompanied by actual interventions. Even rumors about actual interventions were shown by Dominguez and Panthaki (2007) to cause exchange rates to move. On the other hand, (Jansen and De Haan, 2005) showed that the effect of verbal statements by national central banks in the Eurozone was small and short-lived, in particular if combined with the release of macroeconomic news. Similarly, Siklos and Bohl (2008) find that actual interest rate moves had a larger impact on the exchange rate than verbal interventions, a feature hinting at deeds being more important than words. They point out that the estimation techniques used have a bearing on the conclusions and that the way central bank statements are coded in empirical works also matters. Still, verbal interventions by central banks tend to reduce exchange rate volatility in a number of developed as well as emerging economies (Fratzscher, 2004, Fišer and Horváth, 2010, Lahaye et al., 2007 and Goyal and Arora, 2012).2 What is the empirical evidence for the CEE region? Exchange rates are known to be volatile in emerging markets (Bleaney and Francisco, 2007), including those in the CEE region (Kočenda and Valachy, 2006). However, they are much less explored than those of the developed markets and one of the main reasons for this is the lack of data (Cavusoglu, 2010). So far, we know very little about how the findings from developed markets apply to CEE markets. In terms of central bank communication, Égert (2007) employed an event study framework and finds that interventions coupled with central bank communication and backed by interest rate news have quite a lasting effect on the exchange rate of the Czech,3 Hungarian and Polish currencies. Similarly, Gábriel and Pintér (2006) report a smoothing effect of central bank communications on the Hungarian forint and Fišer and Horváth (2010) show a reduction in the volatility of the Czech koruna due to verbal communication. In this paper, we augment the relevant literature by analyzing the impact of macroeconomic news and central bank communication on CEE currencies for which data on macroeconomic and central bank news are available, notably the Czech Republic, Hungary and Poland. In this respect, we fill the gap in the literature by analyzing the effects of macroeconomic news and central bank communication in Central Europe as this topic is grossly under-researched despite the fact that the region attracts considerable amounts of foreign financial capital (Jotikasthira et al., 2010)4 and spillovers from financial turmoil in advanced markets result in a loosening of exchange rate policies in emerging markets (Coudert et al., 2011). We contribute several novelties. First, we use a monetary model to calculate the nominal equilibrium exchange rate to be used in high-frequency exchange rate models. Second, the determinants of short-term exchange rate movements are studied using a set of accurately identified macroeconomic news and central bank communications not employed in the exchange rate analysis of CEE currencies so far. Third, we use a non-linear modeling framework, which allows the exchange rate to move back to monetary equilibrium at different speeds depending on the size of the deviation from equilibrium. The paper describes our modeling strategy in Section 2, the data in Section 3, and empirical results in Section 4. Conclusions are offered in Section 5.

In this paper, we analyzed the impact of macroeconomic news and central bank communications on currencies in emerging markets of Central and Eastern Europe (CEE). In our two-stage modeling strategy we first estimated variants of the monetary model to calculate the nominal equilibrium exchange rate, allowing for a nonlinear return of the exchange rate to the monetary equilibrium depending on the size of the deviation from equilibrium. Next, we integrated equilibrium exchange rates into high-frequency GARCH-type models accounting for the effects of macroeconomic announcements and central bank communication. We provided evidence on the determinants of the short-term exchange rate movements of CEE currencies by including a large set of accurately identified macroeconomic news and central bank communications that have not been employed in exchange rate analysis of the CEE currencies so far.17 Our results show the absence of strong nonlinearities in our dataset. The results also show remarkably different patterns of how CEE exchange rates react to macroeconomic news announcements and central bank communications before and during a severe economic crisis. During the pre-crisis period (2004–2007), the three CEE currencies in general responded to various macroeconomic news in an intuitive manner, corresponding to exchange rate-related theories. During the crisis (2008–2009), the relationships broke down and the currencies reacted to news on the key economic indicator (real GDP growth). Heightened uncertainty seems to narrow the vision of the markets toward this key economic indicator as contagion from other markets impact specific countries’ forex markets. In terms of central bank communications there is a lack of responsiveness during the pre-crisis period (with the exception of the Polish currency). All currencies react to verbal central bank interventions during the crisis period, however. We provide evidence that the exchange rates of the CEE currencies are responsive to both macro news and central bank communications in general but this responsiveness differs significantly during pre-crisis and crisis periods. Detailed responses vary across currencies and we conjecture that the exchange rate regime and monetary policy conduct affect these responses. Further, the extent to which particular currencies are traded on the international foreign exchange market might be a potential explanation behind these differences as well. Finally, our results show that exchange rate-related verbal communication of central banks does matter when markets experience high uncertainty, while during calmer days markets are less attentive.