Impact of the Central Bank's Communication on FX Market Dynamics (In Press)
a National Bank of Ukraine, Kyiv, Ukraine
Abstract

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. For instance, we find that exchange rate movements and volatility are negatively correlated with the volumes of publications of the NBU on its official website. However, this effect is noticeably larger for volatility than for exchange rate changes. The impact of communication 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. 

1921
views
2
downloads
Full Text
Citation
Cite as: Yukhymenko, T., Sorochan, O. (2023). Impact of the Central Bank's Communication on FX Market Dynamics (In Press). Visnyk of the National Bank of Ukraine, 255, . https://doi.org/10.26531/vnbu2023.255.01
Citation Format

Metrics
References
Rights and Permissions
This work is licensed under a Creative Commons Attribution 4.0 International License. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in the credit line; if the material is not included under the Creative Commons license, users will need to obtain permission from the license holder to reproduce the material.
Submit Your Paper