The effect of Economic Data Releases on Foreign Exchange Markets based on high frequency data.

  • Andrés A. Bagnasco Universidad Católica del Uruguay
  • Nicolás Sánchez Universidad Católica del Uruguay
  • Juan C. Sapriza

Resumen

Resumen. Empleando datos de tipo de cambio spot de alta frecuencia (tick) entre enero de 2003 y junio de 2008, así como calendarios de difusión de información económica de países del G-7, se estudia el efecto de estos anuncios sobre las cotizaciones de seis pares de monedas empleando variables como la frecuencia de ticks, indicadores de volatilidad y spreads. Las principales motivaciones para este estudio son la importancia del impacto de los anuncios de información económica sobre las cotizaciones y la falta de clasificaciones extensivas de indicadores de anuncios económicos basados en datos cuantitativos, provenientes de fuentes confiables. El estudio confirma la existencia de impacto de los principales indicadores sobre los tipos de cambio del G-7. Asimismo, se valida la práctica de gestión de riesgos aplicada por algunos Hedge Funds, bajo la cual neutralizan sus posiciones de mercado durante la emisión de importantes anuncios, a fin de evitar su exposición a volatilidades excesivas. Se presenta una herramienta o «catálogo de anuncios» de suma utilidad para gerentes de riesgo, especuladores y gerentes de fondos, con el fin de asistirlos en la toma de decisiones/gestión de riesgos. Finalmente, se ponen a disposición de la comunidad académica fuentes de datos de alta calidad para futuras investigaciones.

Biografía del autor

Master in Data Mining / Statistical Learning – UNED, Madrid, Spain, Postgraduate Degree in Finance – UDELAR University, Uruguay, Chemical Engineer – UDELAR University – Developer/Quant - Occupied several positions as Risk Manager, Senior Quant Analyst and Trader at Hedge Funds, Brokerage Companies and consulting firms; visiting professor/lecturer of International Finance/Derivatives at the Catholic University, Uruguay, financial trainer/consultant for banks and financial companies in the fields of Derivatives/FX Markets/Quantitative Trading & Hedge Funds.

Citas

ANDERSEN, T., T. BOLLERSLEV, F. DIEBOLD & C. VEGA (2003): “Micro effects of macro announcements: Real-time price discovery in foreign exchange”, American Economic Review, 93: 38-62.

— (2007): “Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets”, Journal of International Economics, 73, 251-277.

BALDUZZI, P., E.J. ELTON & T.C. GREEN (1998): Economic News and the Yield Curve: Evidence from the U.S. Treasury Market, Salomon Center Working Paper S-98-5, Stern School of Business, New York University.


BARTOLINI, L., L. GOLDBERG & A. SACARNY (2008): “How Economic News Moves Markets”, Federal Reserve Bank of New York, Vol. 14, Nr 6.

BAUMOHL, Bernard (2005): The Secrets of Economic Indicators, Hidden Clues to Future Economic Trends and Investments Opportunities, Wharton School Publishing.

BAUWENS, L., W. BEN OMRANE & P. GIOT (2005): “News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market”, Journal of International Money and Finance, 24, 1108-1125.

BANK FOR INTERNATIONAL SETTLEMENTS (BIS) (2007): Foreign Exchange Triennial Bank Survey,
‹www.bis.org/statistics/index.htm›, data gathered since Jan, 2008.

CHABOUD, Alain P., Sergei V. CHERNENKO, Edward HOWORKA, Raj S. KRISHNASAMI IYER, LIU David y Jonathan H. WRIGHT (2004): “The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, Nr 823, November.

EDDELBUTTEL, D., & T.H. MCCURDY (1998): The Impact of News on Foreign Exchange Rates: Evidence from High Frequency Data, Manuscript, Rotman School of Management, University of Toronto.

Forex News, Global Calendar (Anuncios Económicos),
‹www.forexnews.com›, data gathered since Sep, 2008.

GUENÇAY, Ramazan, Michel DACOROGNA, Ulrich A. MÜLLER, Olivier PICTET & Richard OLSEN (2001): An Introduction to High Frequency Finance, Academic Press.

LAAKKONEN, H. (2004): “The Impact of macroeconomic news on exchange rate volatility”, Bank of Finland discussion paper Nr 24.

LAAKKONEN, H., & M. LANNE (2008): “Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times”, University of Helsinki, MPRA Paper Nr 8296, posted 17.

NATIONAL BUREAU OF ECONOMIC RESEARCH: Economic
Indicators and Releases, ‹www.nber.org/releases/›, data gathered since October, 2008.

PARKER, John C. (2007): The Impact of Economic News on Financial Markets, Relevant Economics Consulting Ltd., Toronto.

PICKER, Anne Dolganos (2007): “International economic indicators and central banks”, John Wiley & Sons - New Jersey.

RENTA FOREX, ‹www.rentaforex.com›, data gathered since Jan 2008.

SÁNCHEZ, N., & J. SAPRIZA (2009): Influencia de los anuncios económicos en el mercado Forex de divisas utilizando datos de alta frecuencia, Catholic University Thesis.

TALEB, Nassim N. (2007): The Black Swan. The impact of the highly improbable, Random House.

TAKATOSHI, I., & Y. HASHIMOTO (2006): “Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System”, National Bureau of Economic Research, Working Paper 12413, July 2006.

TRADER FOREX, Anuncios Económicos, ‹www.traderforex.eu/es›, data gathered since October, 2008.

WILDER, J. Welles (1978): New Concepts in Technical Trading Systems.

ZWICK, Steve (2007): Capricorn FX; Tested Methods That Work, Futures Magazine Group.
Publicado
2015-10-09
Cómo citar
BAGNASCO, Andrés A.; SÁNCHEZ, Nicolás; SAPRIZA, Juan C.. The effect of Economic Data Releases on Foreign Exchange Markets based on high frequency data.. Cuaderno de Economía (Publicación discontinuada), [S.l.], n. 4, p. 7-29, oct. 2015. ISSN 1688-3519. Disponible en: <https://revistas.ucu.edu.uy/index.php/cuadernodeeconomia/article/view/447>. Fecha de acceso: 25 mar. 2019
Sección
Artículos

Palabras clave

economic announcements; tick data; foreign echange market (forex); news; trading; data releases