Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 11 of 11 for “"macroeconomic news"”.
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Macroeconomic News and LOB in Foreign Exchange ECN Market
We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the …
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Macroeconomic news announcements and the Yen/$US intraday exchange rate
… study provides new evidence on the effects of macroeconomic news announcements and their impact on the yen/US$ exchange rate. Trading days are divided into 4 groups: (1) major US announcement days, (2) minor US announcement days, (3) Japanese announcement days, and (4) Non-announcement days. …
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OPEC PRODUCTION DECISIONS, MACROECONOMIC NEWS AND VOLATILITY IN THE CANADIAN AND ENERGY MARKETS
… inventory surprises, and U.S. and Canadian macroeconomic news announcements on oil and CAD returns and volatilities during, before and after the U.S. financial crisis and European sovereign debt crisis. Besides, we apply the impulse response analysis to decompose the exogenous effects into …
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Macroeconomic news, time-varying risk factors, and time-varying risk premia : the case of the US stock and bond markets
… events. More specifically, we investigate if macroeconomic news is a source of time-varying volatility as well as time-varying covariance, and whether these results in time-varying risk premia in either of the markets. We find that stocks, as opposed to bonds, mainly exhibit a change in the …
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Essays in International Finance and the Global Financial Crisis
… one links the foreign exchange risk premium to macroeconomic risk by studying the options market around macroeconomic news releases. Using a unique data set of overnight currency option prices, I study the reaction of the entire state price density to both anticipated and recently occurring …
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Essays in Macro Finance
… the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a …
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Three Essays on Price Discovery, Stock Liquidity, and Crash Risk
… investor sentiment and attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017 – March 2019, we find significant time variation in the contribution to price discovery of the two markets. Increases in price discovery are …
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International Financial Markets
… The results indicate that announcements of macroeconomic news, the maturity effect, and the seasonal effect can explain the futures price movements of food (non-grains), grain, and livestock better than those of energy and metal. Without controlling for other factors, I find some support for …
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Essays on financial econometrics : cojump detection and density forecasting
… of jumps and cojumps can be related to the macroeconomic news announcements affecting the exchange rates. The two selected jump detection tests find a similar number of jumps for ten foreign exchange rates. We compare density forecasts for the prices of Dow Jones 30 stocks, obtained from …
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AN EMPIRICAL INVESTIGATION OF THE BEHAVIOUR OF FOREIGN INVESTORS IN EMERGING MARKETS
… react differently on the announcement of macroeconomic news, compared to local investors. It also addresses some serious econometric issues that have affected other papers in this area. Under this improved model, many reactions turn out not to be significant, particularly since the 1997-8 …
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Bounded Rationality in Macroeconomics
… such imperfect reasoning and decision making for macroeconomic dynamics and policy. The first chapter, “Attention Cycles” (jointly authored with Joel P. Flynn), studies the causes and consequences of fluctuations in apparent bounded rationality over the business cycle. Using data from US public …