Impact of the Central Bank's Communication on FX Market Dynamics
This study explores the impact of central bank communications on FX market dynamics. Our main results suggest that the NBU’s statements and press releases on monetary policy issues do indeed matter. We find that exchange rate movements and volatility are negatively correlated with the volumes of pub...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
National Bank of Ukraine
2023-06-01
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| Series: | Visnyk of the National Bank of Ukraine |
| Subjects: | |
| Online Access: | https://journal.bank.gov.ua/en/article/2023/255/01 |
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| _version_ | 1832584893166518272 |
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| author | Tetiana Yukhymenko Oleh Sorochan |
| author_facet | Tetiana Yukhymenko Oleh Sorochan |
| author_sort | Tetiana Yukhymenko |
| collection | DOAJ |
| description | This study explores the impact of central bank communications on FX market dynamics. Our main results suggest that the NBU’s statements and press releases on monetary policy issues do indeed matter. We find that exchange rate movements and volatility are negatively correlated with the volumes of publications by the NBU on its official website. However, this effect is noticeably larger for volatility than for exchange rate changes. The impact of communications on FX developments is strongest a week after a news release, and it persists further. Furthermore, these indicators turn out to be more sensitive to monetary policy announcements than NBU updates overall. |
| format | Article |
| id | doaj-art-d719fc7effdb4323a7d90e54a209ab23 |
| institution | Kabale University |
| issn | 2414-987X |
| language | English |
| publishDate | 2023-06-01 |
| publisher | National Bank of Ukraine |
| record_format | Article |
| series | Visnyk of the National Bank of Ukraine |
| spelling | doaj-art-d719fc7effdb4323a7d90e54a209ab232025-01-27T10:36:13ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2023-06-0125542110.26531/vnbu2023.255.01Impact of the Central Bank's Communication on FX Market DynamicsTetiana Yukhymenko0Oleh Sorochan1National Bank of UkraineNational Bank of UkraineThis study explores the impact of central bank communications on FX market dynamics. Our main results suggest that the NBU’s statements and press releases on monetary policy issues do indeed matter. We find that exchange rate movements and volatility are negatively correlated with the volumes of publications by the NBU on its official website. However, this effect is noticeably larger for volatility than for exchange rate changes. The impact of communications on FX developments is strongest a week after a news release, and it persists further. Furthermore, these indicators turn out to be more sensitive to monetary policy announcements than NBU updates overall.https://journal.bank.gov.ua/en/article/2023/255/01monetary policycentral bank communicationsfx markettext analysis |
| spellingShingle | Tetiana Yukhymenko Oleh Sorochan Impact of the Central Bank's Communication on FX Market Dynamics Visnyk of the National Bank of Ukraine monetary policy central bank communications fx market text analysis |
| title | Impact of the Central Bank's Communication on FX Market Dynamics |
| title_full | Impact of the Central Bank's Communication on FX Market Dynamics |
| title_fullStr | Impact of the Central Bank's Communication on FX Market Dynamics |
| title_full_unstemmed | Impact of the Central Bank's Communication on FX Market Dynamics |
| title_short | Impact of the Central Bank's Communication on FX Market Dynamics |
| title_sort | impact of the central bank s communication on fx market dynamics |
| topic | monetary policy central bank communications fx market text analysis |
| url | https://journal.bank.gov.ua/en/article/2023/255/01 |
| work_keys_str_mv | AT tetianayukhymenko impactofthecentralbankscommunicationonfxmarketdynamics AT olehsorochan impactofthecentralbankscommunicationonfxmarketdynamics |