Do sensitivity for macroeconomic announcements changes in crisis? A study of Sweden and surprise affects in exchange rates
(2016) NEKN01 20162Department 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)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8894523
- author
- Leandersson, Andreas LU
- supervisor
- organization
- course
- NEKN01 20162
- year
- 2016
- 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}},
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}},
}