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Corso di Econometria Finanziaria A.A. 2011-12 News e Tassi di Cambio per il Trading

Corso di Econometria Finanziaria A.A. 2011-12 News e Tassi di Cambio per il Trading. Massimo Tivegna Stefania Di Giuseppe Vanessa Fidanza (Università di Teramo ). Punti Base. News e Tassi di Cambio per €-$ $-¥ £-$ Tassonomia delle News: Scheduled e Unscheduled

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Corso di Econometria Finanziaria A.A. 2011-12 News e Tassi di Cambio per il Trading

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  1. Corso di Econometria FinanziariaA.A. 2011-12News e Tassi di Cambio per il Trading Massimo Tivegna Stefania Di Giuseppe Vanessa Fidanza (Università di Teramo )

  2. Punti Base • News e Tassi di Cambio per €-$ $-¥ £-$ • Tassonomia delle News: Scheduled e Unscheduled • Divisione del Global Trading Day (GTD) in 3 Zone Temporali Japanese TZ European TZ American TZ Econometria Finanziaria 2007-08

  3. Strategie di Stima • Zone Temporali • Specificazione del Modello • Definizione delle Variabili Quantitative e di News • Stima: Sovra-parametrizzazione e Riduzione - Modelli GARCH(1,1) Econometria Finanziaria 2007-08

  4. Global Trading Day (CET) in Three Time Zones (TZ) Econometria Finanziaria 2007-08

  5. News • Scheduled news: quantitative macro data releases. Timing is known News=Actual - Expected • Unscheduled news: unexpected economic, political or institutional events, declarations or disclosures (Examples: terror-related news, scheduled statements of unknown content, unscheduled policy statements, influential press articles or banks reports, and so on) Content Unknown – Timing Sometimes Known Econometria Finanziaria 2007-08

  6. News and Exchange Rates (in ETZ) Econometria Finanziaria 2007-08

  7. Time Zones and Exchange Rates Econometria Finanziaria 2007-08

  8. TASSI DI CAMBIO (st) • SDUE06 €-$ alle 6 AM • SDUE14 €-$ alle 14 • SDUE22 €-$ alle 22 • SDJU06 $-¥ alle 6 AM • SDJU14 $-¥ alle 14 • SDJU22 $-¥ alle 14 • SDUU06 £-$ alle 6 AM • SDUU14 £-$ alle 14 • SDUU22 £-$ alle 22 Econometria Finanziaria 2007-08

  9. News and Exchange Rates (in ETZ) Econometria Finanziaria 2007-08

  10. Other Financial Variables in JTZ, ETZ and ATZ, Fh,t-i SMTJAB 10-year ¥-denominated bond int.rate, JTZ SMTGEB 10-year €-denominated bond int.rate, ETZ SMTUKB 10-year £-denominated bond int.rate, ETZ SMTUSB 10-year $-denominated bond int.rate, ATZ SMDJ Dow Jones Industrial Index Econometria Finanziaria 2007-08

  11. Scheduled News Germany SKGE • SGIFO IFO Index of Business Confidence • SGUN Unemploymentvariation • SGPPI PPI • SGPRCPI Preliminary CPI • SGRET Retail Sales • SGGDPW GDP • SGORD Industrial Orders • SGIPI Industrial Production Econometria Finanziaria 2007-08

  12. Scheduled News United States SKUS (I)Forward-looking Indicators • SVOC Non-farm Payrolls • SVISM ISM Manufacturing • SVMICH Consum.Conf.,Univ.of Michigan • SVIJC Initial Jobless Claims • SVISMNM ISM Service Sector • SVCHIC ISM Chicago • SVPHIL Philadelphia Fed Indust.Survey • SVCC Consumer Confidence • SVLEAD Leading Indicators. Econometria Finanziaria 2007-08

  13. Scheduled News United States SKUS (II)Economic Activity • SVGDP GDP • SVPIN Personal Income • SVUN Unemployment rate • SVRET Retail Sales • SVIPI Industrial Production • SVPCE Personal Consumption • SVRETAU Retail Sales Excluding Auto • SVFO Factory Orders • SVDG Durable Goods. Econometria Finanziaria 2007-08

  14. Scheduled News United States SKUS (III)Inflation - External Position • SVPPI Producer Price Index • SVPPI Consumer Price Index • SVPGDP GDP Deflator • SVW Non-Farm Wages • SVTRB Trade Balance • SVCUR Current Account Balance Econometria Finanziaria 2007-08

  15. €-$ Unscheduled news U €/$ JTZ, ETZ,ATZ SMGE, SMUS Market and policy news relevant for €/$ , in ETZ and ATZ SDGE, SDUS Statements relevant for €/$, in ETZ and ATZ SEUWEAK$, SUSWEAK$ $-positive or $-negative Polarization SIECBE Public Interventions by ECB in ETZ

  16. $/¥ Unscheduled news U$/¥ JTZ, ETZ, ATZ SMJAEUYJ(E) - Yen-determined Market and Policy News Relevant for $/¥ SMJAEUDJ(E) - $-determined Market and Policy News Relevant for $/¥ SDJAEUYJ(E) - Statements by Japanese and Intern.Policy Mak.Relevant for $/¥ SDJAEUDJ(E) - Statements by US and Intern.Policy Makers Relevant for $/¥ SEWEAKYJ(E) SUSWEAKY - $-positive or $-negative Polarization SIBOJJA(EU) Public Interventions by Bank of Japan in JTZ, ETZ, ATZ

  17. £-$ Unscheduled news U £/$ ETZ/ATZSMUK(UA) - Market and policy news relevant for £ SDUK(UA) - Market-moving Statements relevant for £

  18. Measurement of News Variables SCHEDULED NEWS (Standardized) [(Published Value) – (Expected Value)] / Stand.Error Source: Bloomberg UNSCHEDULED NEWS +1 €-$-Positive - 1 €-$-Negative News 0 No news Econometria Finanziaria 2007-08

  19. Scheduled News Japan SKJA • SJATRB, SJTTRB - Adjusted and Total Merchandise Trade • SJUN - Unemployment Rate • SJTANK - Tankan Industrial Survey • SJTCPI - Tokio CPI • SJIPI - Industrial Production • SJMO - Industrial Machine Orders • SJGDP - GDP Econometria Finanziaria 2007-08

  20. Scheduled News United Kingdom SKUK • SLRET - Retail Sales • SLIPI - Industrial Production • SLRPIX - Retail Price Index, RPIX • SLVTR - Visible Trade • SLGDP - GDP • SUKMANO - Manufacturing Output • SLUNO - Unemployment rate • SUKUNO - Unemployment Variation • SLIPI - PPI Econometria Finanziaria 2007-08

  21. Econometria Finanziaria 2007-08

  22. Model in ETZ (E) Econometria Finanziaria 2007-08

  23. Model in ATZ (A) Econometria Finanziaria 2007-08

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