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The Effects Of Conventional And Unconventional Monetary Policy On Exchange Rate Volatility, Wan Wei, Susan Pozo
The Effects Of Conventional And Unconventional Monetary Policy On Exchange Rate Volatility, Wan Wei, Susan Pozo
Faculty Publications -School of Business
This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy announcements and high frequency second-by-second intraday data are used in the analysis. Results show that the exchange rate volatility increases significantly in the narrow window before and after the announcements under conventional monetary policy regime. The increase in the volatility is even greater during the contemporaneous period under the unconventional regime. Dividing monetary policy announcements into expansionary and non-expansionary …
Volatility Of The Utilities Industry: Its Causal Relationship To Other Nine Industries, Kuo-Hao Lee, Ahmed Y. Elkassabgi, Wei-Jen Hseih
Volatility Of The Utilities Industry: Its Causal Relationship To Other Nine Industries, Kuo-Hao Lee, Ahmed Y. Elkassabgi, Wei-Jen Hseih
Faculty Publications -School of Business
The goal of this study is to investigate the causality relationship between the Utilities industry and the nine other industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this research by using of a leveraged bootstrap test developed by Hacker and Hatemi-J (2006) to examine the behavior of the volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other industries, except the Information Technology and Telecommunication Services industries. The data also suggest that Financials industry has impact on the Utilities industry.