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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.

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Presentation on theme: "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."— Presentation transcript:

1 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 )

2 Econometria Finanziaria 2007-082 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

3 Econometria Finanziaria 2007-083 Strategie di Stima 1. Zone Temporali 2. Specificazione del Modello 3. Definizione delle Variabili Quantitative e di News 4. Stima: Sovra-parametrizzazione e Riduzione - Modelli GARCH(1,1)

4 Econometria Finanziaria 2007-084 Global Trading Day (CET) in Three Time Zones (TZ)

5 Econometria Finanziaria 2007-085 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

6 Econometria Finanziaria 2007-086 News and Exchange Rates (in ETZ)

7 Econometria Finanziaria 2007-087 Time Zones and Exchange Rates

8 Econometria Finanziaria 2007-088 TASSI DI CAMBIO (s t ) 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

9 Econometria Finanziaria 2007-089 News and Exchange Rates (in ETZ)

10 Econometria Finanziaria 2007-0810 Other Financial Variables in JTZ, ETZ and ATZ, F h,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

11 Econometria Finanziaria 2007-0811 Scheduled News Germany Scheduled News Germany SK GE 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

12 Econometria Finanziaria 2007-0812 Scheduled News United States SK US (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.

13 Econometria Finanziaria 2007-0813 Scheduled News United States SK US (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.

14 Econometria Finanziaria 2007-0814 Scheduled News United States SK US (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

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/ATZ SMUK(UA) - Market and policy news relevant for £ SDUK(UA) - Market-moving Statements relevant for £

18 Econometria Finanziaria 2007-0818 Measurement of News Variables SCHEDULED NEWS (Standardized) [(Published Value) – (Expected Value)] / Stand.Error Source: Bloomberg UNSCHEDULED NEWS +1€-$-Positive - 1€-$-Negative News 0No news

19 Econometria Finanziaria 2007-0819 Scheduled News Japan Scheduled News Japan SK JA 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

20 Econometria Finanziaria 2007-0820 Scheduled News United Kingdom Scheduled News United Kingdom SK UK 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

21 Econometria Finanziaria 2007-0821

22 Econometria Finanziaria 2007-0822 Model in ETZ (E)

23 Econometria Finanziaria 2007-0823 Model in ATZ (A)


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