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
Divisione del Global Trading Day (GTD) in 3
Zone Temporali
Japanese TZ European TZ American TZ

Econometria Finanziaria 2007-08
2
Strategie di Stima
1.
2.
3.
4.
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
3
Global Trading Day (CET)
in Three Time Zones (TZ)
GT Day(t-1)
22:00(t-1)
Global Trading Day(t)
6:00
JAPANESE
TIME ZONE
14:00
EUROPEAN
TIME ZONE
Econometria Finanziaria 2007-08
22:00
AMERICAN
TIME ZONE
4
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
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News and Exchange Rates
(in ETZ)
other fin. var
 log st , ETZ =  + 1  log st , JTZ + 2  log st 1, ATZ +3 logst 1,ETZ +
r
5
  F
h 1 i 0
h h , t i
Fundamentals JTZ, ETZ, ATZ
1
+
i 0
m

j 1
 Z j , t i  E t-1  Z j , t i   +

 i 0
1
j
Scheduled news JTZ, ETZ, ATZ
Econometria Finanziaria 2007-08
n

k
U k ,t i +  t
ki =1
Unscheduled news
JTZ, ETZ, ATZ
6
Time Zones and Exchange Rates
st61, JTZ
st141,ETZ
 log st ,ETZ
 log st , JTZ
 log st 1, ATZ
logst 1, ETZ
st221, ATZ
Econometria Finanziaria 2007-08
st6, JTZ
st14,ETZ
7
TASSI DI CAMBIO (st)









SDUE06
SDUE14
SDUE22
SDJU06
SDJU14
SDJU22
SDUU06
SDUU14
SDUU22
€-$ alle 6 AM
€-$ alle 14
€-$ alle 22
$-¥ alle 6 AM
$-¥ alle 14
$-¥ alle 14
£-$ alle 6 AM
£-$ alle 14
£-$ alle 22
Econometria Finanziaria 2007-08
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News and Exchange Rates
(in ETZ)
other fin. var
 log st , ETZ =  + 1  log st , JTZ + 2  log st 1, ATZ +3 logst 1,ETZ +
r
5
  F
h 1 i 0
h h , t i
Fundamentals JTZ, ETZ, ATZ
m
+

j 1
j
 Z j , t  E t-1  Z j , t   +


Scheduled news JTZ, ETZ, ATZ
Econometria Finanziaria 2007-08
n
 U
i
i ,t
+ t
i =1
Unscheduled news
JTZ, ETZ, ATZ
9
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 $-denominated bond int.rate, ATZ
SMDJ
Dow Jones Industrial Index
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Scheduled News Germany SKGE








SGIFO
SGUN
SGPPI
SGPRCPI
SGRET
SGGDPW
SGORD
SGIPI
IFO Index of Business Confidence
Unemployment variation
PPI
Preliminary CPI
Retail Sales
GDP
Industrial Orders
Industrial Production
Econometria Finanziaria 2007-08
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Scheduled News United States SKUS (I)
Forward-looking Indicators









SVOC
SVISM
SVMICH
SVIJC
SVISMNM
SVCHIC
SVPHIL
SVCC
SVLEAD
Non-farm Payrolls
ISM Manufacturing
Consum.Conf.,Univ.of Michigan
Initial Jobless Claims
ISM Service Sector
ISM Chicago
Philadelphia Fed Indust.Survey
Consumer Confidence
Leading Indicators.
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Scheduled News United States SKUS (II)
Economic Activity









SVGDP
SVPIN
SVUN
SVRET
SVIPI
SVPCE
SVRETAU
SVFO
SVDG
GDP
Personal Income
Unemployment rate
Retail Sales
Industrial Production
Personal Consumption
Retail Sales Excluding Auto
Factory Orders
Durable Goods.
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Scheduled News United States SKUS (III)
Inflation - External Position






SVPPI
SVPPI
SVPGDP
SVW
SVTRB
SVCUR
Producer Price Index
Consumer Price Index
GDP Deflator
Non-Farm Wages
Trade Balance
Current Account Balance
Econometria Finanziaria 2007-08
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€-$ 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
$/¥ Unscheduled news
U$/¥
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 $-negative
Polarization
•SIBOJJA(EU) Public Interventions by Bank of Japan in JTZ,
ETZ, ATZ
£-$ Unscheduled news
U £/$ ETZ/ATZ
SMUK(UA) - Market and policy news relevant for £
SDUK(UA) - Market-moving Statements relevant for £
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
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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
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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
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EUR-USD and STG-USD
From Jan. 4,1999 To May 17, 2007, 22 CET in ATZ
1.4
2.08
2.00
1.3
1.92
1.84
1.76
1.1
1.68
1.0
STG-$
Euro-$
1.2
1.60
1.52
0.9
1.44
0.8
1.36
1999
2000
2001
2002
2003
2004
2005
Econometria Finanziaria 2007-08
2006
2007
21
Model in ETZ (E)
UK
$ / ¥, E



sk t
u 
 $/ ¥ t i 
 $/ ¥ t 
 €/$ E    Β E   €/$    Γ SK, E sk GE   Γ UNSK, E  u € / $, E   ε E
i
t 
t
t
t i



 39 
 312 




 33
 31
E
US
£ / $, E
u 
sk t 2 
 £ /$ t i 
 £ /$ t 




( 31 )
 31
E
t
3
t
i 0
t
 91
εt
E
N  0, H t
E
121

H tE   E + ( tE ) 2 HtE1
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Model in ATZ (A)
 DJ t 
DJ t i 
 r US 
US
¥ /$, A
US 



¥
/$






t
sk
u
rt i
t i
t
t

 3 
5
 UK 

A
A
A
 $/ ¥ t    Βi   €/$     Θi  r   Γ SK, A  sk GEt 1   Γ UNSK, A  u t€/$, A    tA
t i




t i
 514 
 511
5

5


 51
i 0

 i 053 
A
UK
£/$,
A


EU

sk t 1 
u t 
 €/$ t 
r
£/$
 t i 
t i 
 
 

JA
141
111
 31
A

r


 t 1 
 £/$ t 
 51
εtA
N  0, H tA 
H tA   A + ( tA )2 H tA1
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