The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar]
Résumé
In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurrence and to reveal a dissymmetry between the effect of the Bundesbank and the Federal Reserve signals on the exchange rate volatility.