Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland

Brzeszczynski, Janusz, Gajdka, Jerzy and Kutan, Ali (2017) Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland. Argumenta Oeconomica (39). pp. 21-60. ISSN 1233-5835

[img] Text (Full text)
Brzeszczyński et al - Central Bank Communication AAM.pdf - Accepted Version
Restricted to Repository staff only

Download (907kB)

Abstract

We analyze the impact of monetary policy communication of the National Bank of Poland (NBP), i.e. the NBP announcements of interest rates changes and the release of new macroeconomic figures, on the Polish financial market in its two main segments: the foreign exchange market and the stock market, and we provide evidence on how they react to public information from the NBP. In particular, we are interested in the uncertainty (i.e. risk) effects and the wealth (i.e. return) effects of the NBP communication, i.e. whether the NBP announcements had any influence on stock and foreign exchange returns and on the activity of those two markets. Using GARCH methodology, we document the negative effects in the conditional variance of GARCH class models of WIG index volume of trade and WIG returns as well as PLN/USD bid-ask spread and PLN/USD returns, which suggests the existence of the calming effects of the NBP communication with financial markets on their price volatility and on the changes of their activity. The evidence presented in our study indicates that the NBP announcements had stabilizing effects on the stock and foreign exchange markets in Poland.

Item Type: Article
Uncontrolled Keywords: macroeconomic announcements; interest rates; National Bank of Poland (NBP); foreign exchange market; stock market; returns volatility; market activity
Subjects: N300 Finance
Department: Faculties > Business and Law > Newcastle Business School
Related URLs:
Depositing User: Paul Burns
Date Deposited: 18 Oct 2018 08:37
Last Modified: 19 Nov 2019 09:04
URI: http://nrl.northumbria.ac.uk/id/eprint/36360

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics