The Euro-Dollar Exchange Rate: How Traders’ Behaviour Has Been Affected by the 2007-2008 Financial Crisis

Autor: Gabriella Cagliesi, Massimo Tivegna, Antonio Carlo Francesco Della Bina
Rok vydání: 2016
Předmět:
Zdroj: Economic Notes. 45:139-177
ISSN: 0391-5026
DOI: 10.1111/ecno.12053
Popis: This paper investigates the dynamics of the Euro/US dollar exchange rate before, during and after the global financial crisis using intra-day data in a sample covering the period 2003–2011. The paper extends over the conventional empirical framework and specifies an EGARCH (3,1) model to account for heterogeneity in three temporal trading zones and for asymmetric volatility to news. The findings indicate the presence and evolution of differences in Euro/US exchange rate dynamics across American, European and Asian trading zones before and during the financial crisis. As a result of the crisis, traders in the three areas have modified their reactions to scheduled news, unscheduled surprises and content of policies. Developing a better understanding of how traders' behaviour has adjusted since the onset of the crisis is an important issue given the global significance of this exchange rate and the considerable volatility experienced over the sample period.
Databáze: OpenAIRE
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