Intraday exchange rate volatility transmissions across QE announcements

dc.creator	Kenourgios, D.	en
dc.creator	Papadamou, S.	en
dc.creator	Dimitriou, D.	en
dc.date.accessioned	2015-11-23T10:34:36Z
dc.date.available	2015-11-23T10:34:36Z
dc.date.issued	2015
dc.identifier	10.1016/j.fr1.2015.05.007
dc.identifier.issn	1544-6123
dc.identifier.uri	http://hdl.handle.net/11615/29359
dc.description.abstract	This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR and JPY, and (iii) a "calming down" impact on the volatility of EUR and GBP from the BoJ and the ECB announcements, respectively. (C) 2015 Elsevier Inc. All rights reserved.	en
dc.source	Finance Research Letters	en
dc.source.uri	<Go to ISI>://WOS:000360322200016
dc.subject	Quantitative easing	en
dc.subject	Announcements	en
dc.subject	Foreign exchange	en
dc.subject	Intraday	en
dc.subject	Volatility transmission	en
dc.subject	Business, Finance	en
dc.title	Intraday exchange rate volatility transmissions across QE announcements	en
dc.type	journalArticle	en

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