Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros
Ano de defesa: | 2019 |
---|---|
Autor(a) principal: | |
Orientador(a): | |
Banca de defesa: | |
Tipo de documento: | Dissertação |
Tipo de acesso: | Acesso aberto |
Idioma: | por |
Instituição de defesa: |
Universidade Católica de Brasília
|
Programa de Pós-Graduação: |
Programa Stricto Sensu em Economia de Empresas
|
Departamento: |
Escola de Gestão e Negócios
|
País: |
Brasil
|
Palavras-chave em Português: | |
Palavras-chave em Inglês: | |
Área do conhecimento CNPq: | |
Resumo em Inglês: | The use of high frequency data has been recently intensified. Many aspects related to finance in general have considered the loads of information that such data provide to scientific studies. One particularly interesting area is the impact assessment of macroeconomic announcements on prices and volatility of financial assets in the period around the ad time. Although there is an extensive literature dealing with the impacts on these announcements on the price and volatility of financial assets, only a few of them assess the impact on the dependency between these assets. The current paper intends to assess the impact of important announcements related to the US economy over the dependence of the euro, pound and Swiss franc exchange rates against the US dollar. On this regard, we use closing price data for these exchange rates, sampled every five minutes, for the period from June 3, 2013 to June 12, 2017.The volatility of the intraday log-returns series is modeled using the MCGARCH (Multiplicative-component Generalized Autoregressive Conditional Heteroskedasticity model) and the dependence between the exchange rates series is modeled by a D-vine copula with time-varying parameters, according to the Generalized Autoregressive Score (GAS) model. We find empirical evidence that, in fact, some macroeconomic announcements impact the dependency between these exchange rates around the ad period. |
Link de acesso: | https://bdtd.ucb.br:8443/jspui/handle/tede/2573 |
Resumo: | The use of high frequency data has been recently intensified. Many aspects related to finance in general have considered the loads of information that such data provide to scientific studies. One particularly interesting area is the impact assessment of macroeconomic announcements on prices and volatility of financial assets in the period around the ad time. Although there is an extensive literature dealing with the impacts on these announcements on the price and volatility of financial assets, only a few of them assess the impact on the dependency between these assets. The current paper intends to assess the impact of important announcements related to the US economy over the dependence of the euro, pound and Swiss franc exchange rates against the US dollar. On this regard, we use closing price data for these exchange rates, sampled every five minutes, for the period from June 3, 2013 to June 12, 2017.The volatility of the intraday log-returns series is modeled using the MCGARCH (Multiplicative-component Generalized Autoregressive Conditional Heteroskedasticity model) and the dependence between the exchange rates series is modeled by a D-vine copula with time-varying parameters, according to the Generalized Autoregressive Score (GAS) model. We find empirical evidence that, in fact, some macroeconomic announcements impact the dependency between these exchange rates around the ad period. |
id |
UCB_22f6d72fbe94b1d831583b61a162ffeb |
---|---|
oai_identifier_str |
oai:bdtd.ucb.br:tede/2573 |
network_acronym_str |
UCB |
network_name_str |
Biblioteca Digital de Teses e Dissertações da UCB |
spelling |
Tófoli, Paula Virgíniahttp://lattes.cnpq.br/9625957902840622http://buscatextual.cnpq.br/buscatextual/busca.do?metodo=apresentarBarbosa Júnior, João2019-05-22T19:48:25Z2019-02-25BARBOSA JÚNIOR, João. Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros. 2019. 29 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2019.https://bdtd.ucb.br:8443/jspui/handle/tede/2573The use of high frequency data has been recently intensified. Many aspects related to finance in general have considered the loads of information that such data provide to scientific studies. One particularly interesting area is the impact assessment of macroeconomic announcements on prices and volatility of financial assets in the period around the ad time. Although there is an extensive literature dealing with the impacts on these announcements on the price and volatility of financial assets, only a few of them assess the impact on the dependency between these assets. The current paper intends to assess the impact of important announcements related to the US economy over the dependence of the euro, pound and Swiss franc exchange rates against the US dollar. On this regard, we use closing price data for these exchange rates, sampled every five minutes, for the period from June 3, 2013 to June 12, 2017.The volatility of the intraday log-returns series is modeled using the MCGARCH (Multiplicative-component Generalized Autoregressive Conditional Heteroskedasticity model) and the dependence between the exchange rates series is modeled by a D-vine copula with time-varying parameters, according to the Generalized Autoregressive Score (GAS) model. We find empirical evidence that, in fact, some macroeconomic announcements impact the dependency between these exchange rates around the ad period.A utilização de dados em alta frequência tem sido intensificada nos últimos tempos. Diversos aspectos relacionados às finanças em geral têm se valido das cargas de informação que tais dados fornecem aos estudos. Um campo particularmente interessante é a avaliação do impacto de anúncios macroeconômicos no preço e na volatilidade de ativos financeiros no período em torno do horário do anúncio. Embora haja uma extensa literatura que trata dos impactos desses anúncios sobre o preço e a volatilidade de ativos financeiros, ainda há poucos que avaliam o impacto sobre a dependência entre esses ativos. Neste trabalho, buscou-se avaliar o impacto de importantes anúncios referentes à economia norte-americana sobre a dependência entre as taxas de câmbio do euro, da libra e do franco suíço contra o dólar norte-americano. Para isso, utilizamos dados dos preços de fechamento dessas taxas de câmbio, amostrados de cinco em cinco minutos, para o período de 3 de junho de 2013 a 12 junho de 2017. A volatilidade das séries de log-retornos intradiários é modelada mediante uso do MCGARCH (Multiplicative-component Generalized Autoregressive Conditional Heteroskedasticity model) e a dependência entre as séries de taxa de câmbio é modelada por uma D-vine cópula com parâmetros tempo variantes, de acordo com o modelo GAS (Generalized Autorregressive Score). Encontramos evidências empíricas de que, de fato, alguns anúncios macroeconômicos têm impacto sobre a dependência entre essas taxas de câmbio no período em torno do anúncio.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-05-22T19:47:03Z No. of bitstreams: 1 JoaoBarbosaJuniorDissertacao2019.pdf: 955643 bytes, checksum: 49dbf2a1706bd699b1b561c2c365df2d (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-05-22T19:48:25Z (GMT) No. of bitstreams: 1 JoaoBarbosaJuniorDissertacao2019.pdf: 955643 bytes, checksum: 49dbf2a1706bd699b1b561c2c365df2d (MD5)Made available in DSpace on 2019-05-22T19:48:25Z (GMT). No. of bitstreams: 1 JoaoBarbosaJuniorDissertacao2019.pdf: 955643 bytes, checksum: 49dbf2a1706bd699b1b561c2c365df2d (MD5) Previous issue date: 2019-02-25application/pdfhttps://bdtd.ucb.br:8443/jspui/retrieve/6384/JoaoBarbosaJuniorDissertacao2019.pdf.jpgporUniversidade Católica de BrasíliaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Gestão e NegóciosTaxas de câmbioAnúncios macroeconômicosAnnouncementsExchange ratesCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIAOs impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeirosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasíliainstacron:UCBTHUMBNAILJoaoBarbosaJuniorDissertacao2019.pdf.jpgJoaoBarbosaJuniorDissertacao2019.pdf.jpgimage/jpeg5669https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/4/JoaoBarbosaJuniorDissertacao2019.pdf.jpgd8ce6a756810bbdfb92633ea4062488eMD54TEXTJoaoBarbosaJuniorDissertacao2019.pdf.txtJoaoBarbosaJuniorDissertacao2019.pdf.txttext/plain47477https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/3/JoaoBarbosaJuniorDissertacao2019.pdf.txt1592fade1da98cff4e0e8c044e13fa0fMD53ORIGINALJoaoBarbosaJuniorDissertacao2019.pdfJoaoBarbosaJuniorDissertacao2019.pdfapplication/pdf955643https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/2/JoaoBarbosaJuniorDissertacao2019.pdf49dbf2a1706bd699b1b561c2c365df2dMD52LICENSElicense.txtlicense.txttext/plain; charset=utf-81905https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/1/license.txt75558dcf859532757239878b42f1c2c7MD51tede/2573oai:bdtd.ucb.br:tede/25732019-05-23 01:30:12.131Biblioteca Digital de Dissertações da Universidade Católica de Brasília - UCBsdi@ucb.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 |
dc.title.por.fl_str_mv |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros |
title |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros |
spellingShingle |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros Barbosa Júnior, João Taxas de câmbio Anúncios macroeconômicos Announcements Exchange rates CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
title_short |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros |
title_full |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros |
title_fullStr |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros |
title_full_unstemmed |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros |
title_sort |
Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros |
author |
Barbosa Júnior, João |
author_facet |
Barbosa Júnior, João |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Tófoli, Paula Virgínia |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/9625957902840622 |
dc.contributor.authorLattes.fl_str_mv |
http://buscatextual.cnpq.br/buscatextual/busca.do?metodo=apresentar |
dc.contributor.author.fl_str_mv |
Barbosa Júnior, João |
contributor_str_mv |
Tófoli, Paula Virgínia |
dc.subject.por.fl_str_mv |
Taxas de câmbio Anúncios macroeconômicos |
topic |
Taxas de câmbio Anúncios macroeconômicos Announcements Exchange rates CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.subject.eng.fl_str_mv |
Announcements Exchange rates |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.description.abstract.eng.fl_txt_mv |
The use of high frequency data has been recently intensified. Many aspects related to finance in general have considered the loads of information that such data provide to scientific studies. One particularly interesting area is the impact assessment of macroeconomic announcements on prices and volatility of financial assets in the period around the ad time. Although there is an extensive literature dealing with the impacts on these announcements on the price and volatility of financial assets, only a few of them assess the impact on the dependency between these assets. The current paper intends to assess the impact of important announcements related to the US economy over the dependence of the euro, pound and Swiss franc exchange rates against the US dollar. On this regard, we use closing price data for these exchange rates, sampled every five minutes, for the period from June 3, 2013 to June 12, 2017.The volatility of the intraday log-returns series is modeled using the MCGARCH (Multiplicative-component Generalized Autoregressive Conditional Heteroskedasticity model) and the dependence between the exchange rates series is modeled by a D-vine copula with time-varying parameters, according to the Generalized Autoregressive Score (GAS) model. We find empirical evidence that, in fact, some macroeconomic announcements impact the dependency between these exchange rates around the ad period. |
dc.description.abstract.por.fl_txt_mv |
A utilização de dados em alta frequência tem sido intensificada nos últimos tempos. Diversos aspectos relacionados às finanças em geral têm se valido das cargas de informação que tais dados fornecem aos estudos. Um campo particularmente interessante é a avaliação do impacto de anúncios macroeconômicos no preço e na volatilidade de ativos financeiros no período em torno do horário do anúncio. Embora haja uma extensa literatura que trata dos impactos desses anúncios sobre o preço e a volatilidade de ativos financeiros, ainda há poucos que avaliam o impacto sobre a dependência entre esses ativos. Neste trabalho, buscou-se avaliar o impacto de importantes anúncios referentes à economia norte-americana sobre a dependência entre as taxas de câmbio do euro, da libra e do franco suíço contra o dólar norte-americano. Para isso, utilizamos dados dos preços de fechamento dessas taxas de câmbio, amostrados de cinco em cinco minutos, para o período de 3 de junho de 2013 a 12 junho de 2017. A volatilidade das séries de log-retornos intradiários é modelada mediante uso do MCGARCH (Multiplicative-component Generalized Autoregressive Conditional Heteroskedasticity model) e a dependência entre as séries de taxa de câmbio é modelada por uma D-vine cópula com parâmetros tempo variantes, de acordo com o modelo GAS (Generalized Autorregressive Score). Encontramos evidências empíricas de que, de fato, alguns anúncios macroeconômicos têm impacto sobre a dependência entre essas taxas de câmbio no período em torno do anúncio. |
description |
The use of high frequency data has been recently intensified. Many aspects related to finance in general have considered the loads of information that such data provide to scientific studies. One particularly interesting area is the impact assessment of macroeconomic announcements on prices and volatility of financial assets in the period around the ad time. Although there is an extensive literature dealing with the impacts on these announcements on the price and volatility of financial assets, only a few of them assess the impact on the dependency between these assets. The current paper intends to assess the impact of important announcements related to the US economy over the dependence of the euro, pound and Swiss franc exchange rates against the US dollar. On this regard, we use closing price data for these exchange rates, sampled every five minutes, for the period from June 3, 2013 to June 12, 2017.The volatility of the intraday log-returns series is modeled using the MCGARCH (Multiplicative-component Generalized Autoregressive Conditional Heteroskedasticity model) and the dependence between the exchange rates series is modeled by a D-vine copula with time-varying parameters, according to the Generalized Autoregressive Score (GAS) model. We find empirical evidence that, in fact, some macroeconomic announcements impact the dependency between these exchange rates around the ad period. |
publishDate |
2019 |
dc.date.accessioned.fl_str_mv |
2019-05-22T19:48:25Z |
dc.date.issued.fl_str_mv |
2019-02-25 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
status_str |
publishedVersion |
format |
masterThesis |
dc.identifier.citation.fl_str_mv |
BARBOSA JÚNIOR, João. Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros. 2019. 29 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2019. |
dc.identifier.uri.fl_str_mv |
https://bdtd.ucb.br:8443/jspui/handle/tede/2573 |
identifier_str_mv |
BARBOSA JÚNIOR, João. Os impactos de anúncios macroeconômicos sobre a volatilidade e a dependência intradiária entre retornos financeiros. 2019. 29 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2019. |
url |
https://bdtd.ucb.br:8443/jspui/handle/tede/2573 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Católica de Brasília |
dc.publisher.program.fl_str_mv |
Programa Stricto Sensu em Economia de Empresas |
dc.publisher.initials.fl_str_mv |
UCB |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
Escola de Gestão e Negócios |
publisher.none.fl_str_mv |
Universidade Católica de Brasília |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da UCB instname:Universidade Católica de Brasília instacron:UCB |
reponame_str |
Biblioteca Digital de Teses e Dissertações da UCB |
collection |
Biblioteca Digital de Teses e Dissertações da UCB |
instname_str |
Universidade Católica de Brasília |
instacron_str |
UCB |
institution |
UCB |
bitstream.url.fl_str_mv |
https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/4/JoaoBarbosaJuniorDissertacao2019.pdf.jpg https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/3/JoaoBarbosaJuniorDissertacao2019.pdf.txt https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/2/JoaoBarbosaJuniorDissertacao2019.pdf https://bdtd.ucb.br:8443/jspui/bitstream/tede/2573/1/license.txt |
bitstream.checksum.fl_str_mv |
d8ce6a756810bbdfb92633ea4062488e 1592fade1da98cff4e0e8c044e13fa0f 49dbf2a1706bd699b1b561c2c365df2d 75558dcf859532757239878b42f1c2c7 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Biblioteca Digital de Dissertações da Universidade Católica de Brasília - UCB |
repository.mail.fl_str_mv |
sdi@ucb.br |
_version_ |
1643299936931938304 |