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Do sensitivity for macroeconomic announcements changes in crisis? A study of Sweden and surprise affects in exchange rates

Leandersson, Andreas LU (2016) NEKN01 20162
Department of Economics
Abstract
This study aims to examine how the sensitivity for macroeconomic announcements surprises changes for the exchange rate in terms of a crisis. Previous research has been biased for U.S announcements and their relation towards emerging market, which has shown that U.S announcements affect more than the domestic. It also suggests that business cycle and uncertainty affect and increase the reaction for announcements. This thesis shift the focus towards a small developed economy, Sweden’s relation towards larger countries announcements. By using a new approach and divide the examined time line for the 2008 crisis to compare with a benchmark that represent a normal reaction structure. I found that Swedish announcements has an equal reaction... (More)
This study aims to examine how the sensitivity for macroeconomic announcements surprises changes for the exchange rate in terms of a crisis. Previous research has been biased for U.S announcements and their relation towards emerging market, which has shown that U.S announcements affect more than the domestic. It also suggests that business cycle and uncertainty affect and increase the reaction for announcements. This thesis shift the focus towards a small developed economy, Sweden’s relation towards larger countries announcements. By using a new approach and divide the examined time line for the 2008 crisis to compare with a benchmark that represent a normal reaction structure. I found that Swedish announcements has an equal reaction structure in comparison to U.S while is more influential over U.K and German announcements. Clear evidence of an increased sensitivity for surprises exists, and is as large after a crisis has appeared rather than over the business cycle.
Most influential macroeconomic announcements that increase in reaction were policy rates, retail sales, consumer price index, manufacturing price measure index and GDP, which is in line with previous studies. (Less)
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author
Leandersson, Andreas LU
supervisor
organization
course
NEKN01 20162
year
type
H1 - Master's Degree (One Year)
subject
keywords
Macroeconomic announcements, surprise affects, exchange rate, Sweden
language
English
id
8894523
date added to LUP
2016-11-03 11:29:25
date last changed
2016-11-03 11:29:25
@misc{8894523,
  abstract     = {This study aims to examine how the sensitivity for macroeconomic announcements surprises changes for the exchange rate in terms of a crisis. Previous research has been biased for U.S announcements and their relation towards emerging market, which has shown that U.S announcements affect more than the domestic. It also suggests that business cycle and uncertainty affect and increase the reaction for announcements. This thesis shift the focus towards a small developed economy, Sweden’s relation towards larger countries announcements. By using a new approach and divide the examined time line for the 2008 crisis to compare with a benchmark that represent a normal reaction structure. I found that Swedish announcements has an equal reaction structure in comparison to U.S while is more influential over U.K and German announcements. Clear evidence of an increased sensitivity for surprises exists, and is as large after a crisis has appeared rather than over the business cycle. 
Most influential macroeconomic announcements that increase in reaction were policy rates, retail sales, consumer price index, manufacturing price measure index and GDP, which is in line with previous studies.},
  author       = {Leandersson, Andreas},
  keyword      = {Macroeconomic announcements,surprise affects,exchange rate,Sweden},
  language     = {eng},
  note         = {Student Paper},
  title        = {Do sensitivity for macroeconomic announcements changes in crisis? A study of Sweden and surprise affects in exchange rates},
  year         = {2016},
}