Corso di Econometria FinanziariaA.A. 2011-12

News e Tassi di Cambio per il TradingNews e Tassi di Cambio per il Trading

Massimo Tivegna

Stefania Di Giuseppe Vanessa Fidanza (Università di Teramo )

Econometria Finanziaria 2007-08 2

Punti BasePunti 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 Strategie di Stima

1. Zone Temporali 2. Specificazione del Modello3. Definizione delle Variabili

Quantitative e di News 4. Stima: Sovra-

parametrizzazione e Riduzione - Modelli GARCH(1,1)

Econometria Finanziaria 2007-08 4

Global Trading Day (CET) Global Trading Day (CET) in Three Time Zones (TZ) in Three Time Zones (TZ)

GT Day(t-1) Global Trading Day(t)

22:00(t-1) 6:00 14:00 22:00

JAPANESE EUROPEAN AMERICAN

TIME ZONE TIME ZONE TIME ZONE

Econometria Finanziaria 2007-08 5

NewsNews 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 News and Exchange Rates Rates

(in ETZ)(in ETZ)other fin. var

5

, 1 , 2 1, 3 1, , 1 0

Fundamentals JTZ, ETZ, ATZ

log = + log + log + logs + r

t ETZ t JTZ t ATZ t ETZ h h t ih i

s s s F

1 1

, t-1 , ,0 1 0 =1

Unscheduled newsScheduled news JTZ, ETZ, ATZ JTZ, ETZ, ATZ

+ E + + m n

j j t i j t i k k t i ti j i ki

Z Z U

Econometria Finanziaria 2007-08 7

Time Zones and Exchange Time Zones and Exchange RatesRates

,log t ETZs,log t JTZs1,log t ATZs

1,logst ETZ

14,t ETZs

6,t JTZs

221,t ATZs

141,t ETZs

61,t JTZs

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 News and Exchange Rates Rates

(in ETZ)(in ETZ)other fin. var

5

, 1 , 2 1, 3 1, , 1 0

Fundamentals JTZ, ETZ, ATZ

log = + log + log + logs + r

t ETZ t JTZ t ATZ t ETZ h h t ih i

s s s F

, t-1 , ,1 =1

Unscheduled newsScheduled news JTZ, ETZ, ATZ JTZ, ETZ, ATZ

+ E + + m n

j j t j t i i t tj i

Z Z U

Econometria Finanziaria 2007-08 10

Other Financial Variables in Other Financial Variables in JTZ, ETZ and ATZ, FJTZ, ETZ and ATZ, Fh,t-ih,t-i

SMTJAB 10-year ¥-denominated bond int.rate, JTZSMTGEB 10-year €-denominated bond int.rate, ETZSMTUKB 10-year £-denominated bond int.rate, ETZSMTUSB 10-year $-denominated bond int.rate, ATZ

SMDJ Dow Jones Industrial Index

Econometria Finanziaria 2007-08 11

Scheduled News Scheduled News Germany Germany SKGE

SGIFO IFO Index of Business Confidence

SGUN Unemployment variation 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 Scheduled News United States SKSKUS US (I) (I)

Forward-looking IndicatorsForward-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 Scheduled News United States SKSKUSUS (II) (II)

Economic ActivityEconomic 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 Scheduled News United States SKSKUSUS (III) (III)

Inflation - External PositionInflation - External Position SVPPI Producer Price Index SVPPI Consumer Price Index SVPGDP GDP Deflator SVW Non-Farm Wages SVTRB Trade Balance SVCUR Current Account

Balance

€-$ 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 £

Econometria Finanziaria 2007-08 18

Measurement of News Measurement of News VariablesVariables

SCHEDULED NEWS (Standardized)[(Published Value) – (Expected Value)] /

Stand.ErrorSource: Bloomberg

UNSCHEDULED NEWS+1 €-$-Positive - 1 €-$-Negative News 0 No news

Econometria Finanziaria 2007-08 19

Scheduled News Japan 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 Scheduled News United Kingdom 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

EUR-USD and STG-USDFrom Jan. 4,1999 To May 17, 2007, 22 CET in ATZ

Euro

-$

STG-$

1999 2000 2001 2002 2003 2004 2005 2006 20070.8

0.9

1.0

1.1

1.2

1.3

1.4

1.36

1.44

1.52

1.60

1.68

1.76

1.84

1.92

2.00

2.08

Econometria Finanziaria 2007-08 22

Model in ETZ (E)Model in ETZ (E)

E E,t tN Hε 0

E E E 2 E1 + ( ) t t t H H

3

03 9 3 12

3 3 3 1

23 1 3 1 9 1 12 1

Β Γ

u

Γ u

u

sk

sk ε

sk

$/ ¥,

SK, E UNSK, EE €/ $,

£ / $,

( )

$/$/€/ $ €/ $£/ $ £/ $

i

t

t

t

UK EE

tt itE GE E E

i t tt t iE

US Et tt i

¥¥

Econometria Finanziaria 2007-08 23

Model in ATZ (A)Model in ATZ (A)

A A,t tN Hε 0

A A A 2 A1 + ( ) t t t H H

USUSUS

3 5A SK, AA A GEUK15 14 55 50 0A UKEU5 31

14 13 1A1

5 1

/ $

$/ €/ $

€/ $ £/ $

£/ $

tt i

t t i tt i

t i i tt i t ii i

tt t it iJA

tt

DJ DJr r

r

rr

¥

¥sk

Β Θ Γ sk Γ

sk

/ $,

UNSK, A €/ $, A

11 5 1£/ $,

11 1

A

t

A

t t

A

t

¥u

u

u