The Effects of Macro News on Exchange Rates Volatilities: Evidence from BRICS Countries

Purpose – This study aims to investigate the impact of information, both public macro news and private information, on exchange rate volatility in an integrated framework. Design/methodology/approach – The authors apply real-time data of macro announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH models and examine various model specifications. Findings – Data analysis demonstrates real-time macro news and market makers’ private information both have a significant impact on exchange rate volatility, but there is no interaction between macro and micro information in the information transmission process. Originality/value – This study contributes to empirical hybrid studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study.

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The Impact of Oil Shock on Exchange Rates in BRICS Countries: A Markov Switching Model

Prediction and Causality in Econometrics and Related Topics - Studies in Computational Intelligence ◽

10.1007/978-3-030-77094-5_32 ◽

2021 ◽

pp. 413-422

Author(s):

Jirawan Suwannajak ◽

Woraphon Yamaka ◽

Songsak Sriboonchitta

Keyword(s):

Exchange Rates ◽

Markov Switching ◽

Markov Switching Model ◽

Switching Model ◽

Brics Countries ◽

Oil Shock ◽

The Impact

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Behaviour of the Foreign Exchange Rates of BRICS: Is it Chaotic?

The Journal of Prediction Markets ◽

10.5750/jpm.v11i2.1247 ◽

2018 ◽

Vol 11 (2) ◽

pp. 1-19 ◽

Cited By ~ 1

Author(s):

Sharad Nath Bhattacharya ◽

Mousumi Bhattacharya ◽

Basav Roychoudhury

Keyword(s):

Exchange Rates ◽

Foreign Exchange ◽

Foreign Exchange Market ◽

Exchange Rate Volatility ◽

Deterministic Chaos ◽

Nonlinear Dependence ◽

Foreign Exchange Rates ◽

Brics Countries ◽

Long Run ◽

Chaotic Nature

The article focuses on the behaviour of foreign exchange rates of BRICS countries in reference to US dollar with special emphasis on examining presence of nonlinear dependence and deterministic chaos. The findings did not indicate random walk behaviour in the returns for all exchange rates and performance of GARCH as well as EGARCH models are reasonably good in capturing the conditional volatility. Further evidences suggest existence of nonlinear dependence and we compute Maximal Lyapunov Exponent and Correlation Dimension test with multiple surrogate series which confirms the chaotic nature of the exchange rates for all countries under study except for South Africa. The findings support short run predictability in exchange rates while long run predictions are unlikely to be successful. The chaotic nature of the foreign exchange market calls for newer intervention mechanism by the Central Bank of the respective countries to limit the exchange rate volatility.

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