Artículos de revistas
Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach
Matesanz Gómez, David; Ortega, Guillermo José; Dissimilar Effects of World News Announcements on Euro/Dollar/Yen Exchange Rates: An Econophysics Approach; Kavala Institute of Technology; Journal of Engineering Science and Technology Review; 8; 1; 1-2015; 86-90
Matesanz Gómez, David
Ortega, Guillermo José
This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact of world-wide macroeconomic information published in the economic calendar in several recent years we were able to construct long events' time series with the objective to test whether they influence exchange rate volatilities in several currencies. In order to do that, Granger causality test was employed by using a computational approach. Our results show that announcements from U.S.A are, by far, the most important influence over the three spot forex quotes, Euro/Dollar, Euro/Yen and Dollar/Yen. The method proposed here opens the door to address several open questions until now.