Munich Personal RePEc Archive

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

Laakkonen, Helinä and Lanne, Markku (2008): Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times.

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Abstract

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.

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