Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data
The results of the research presented in the article regard the importance of publication of macroeconomic data from the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was to indicate what macroeconomic data is important for the shor...
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| Format: | Article |
| Language: | English |
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Sciendo
2023-03-01
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| Series: | Financial Internet Quarterly |
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| Online Access: | https://doi.org/10.2478/fiqf-2023-0001 |
| _version_ | 1827968819860078592 |
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| author | Pasionek Jolanta |
| author_facet | Pasionek Jolanta |
| author_sort | Pasionek Jolanta |
| collection | DOAJ |
| description | The results of the research presented in the article regard the importance of publication of macroeconomic data from the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was to indicate what macroeconomic data is important for the short-term USD/PLN exchange rate volatility. The following research questions have been posed does the USD/PLN exchange rate react to the published macroeconomic data from the American economy and second could greater USD/PLN exchange rate volatility be observed during the COVID pandemic and has the war in Ukraine impacted the USD/PLN exchange rate volatility. International Foreign Exchange Market is the largest and most dynamically developing financial market in the world. In the globalized world the exchange rates are mainly influenced by economic factors. The most significant economic factors that impact short-term exchange rate volatility are primarily macroeconomic data from the American economy. Therefore in this article the author attempts to analyze macroeconomic data and their impact on short-term USD/PLN exchange rate volatility. Data based on which the research was made is as follows: Consumer Price Index, Non-Farm Payrolls (NFP), Services PMI, Manufacturing PMI, Empire State Manufacturing Index or Retail Sales. The analysis of connections between the publication of macroeconomic data and the reaction of exchange rates was carried out using the linear regression model with GARCH process for the random parameter. Conclusions of this research is exchange rate volatility USD/PLN was higher after publications of the macroeconomic data from Americans economy. The strongest exchange rate reaction was after publication of data regarding inflation, Manufacturing PMI and Retail Sales. In the COVID (1.03.20—14.02.22) period we observed increased USD/PLN exchange rate volatility. Exchange rate volatility was expressly larger in the period of war in Ukraine (15.02.22 – end of experiment). |
| first_indexed | 2024-04-09T18:28:36Z |
| format | Article |
| id | doaj.art-50eb3d86046147cc8e86adf91b077a4a |
| institution | Directory Open Access Journal |
| issn | 2719-3454 |
| language | English |
| last_indexed | 2024-04-09T18:28:36Z |
| publishDate | 2023-03-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Financial Internet Quarterly |
| spelling | doaj.art-50eb3d86046147cc8e86adf91b077a4a2023-04-11T17:42:39ZengSciendoFinancial Internet Quarterly2719-34542023-03-011911710.2478/fiqf-2023-0001Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic dataPasionek Jolanta01University of Economics in Katowice, PolandThe results of the research presented in the article regard the importance of publication of macroeconomic data from the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was to indicate what macroeconomic data is important for the short-term USD/PLN exchange rate volatility. The following research questions have been posed does the USD/PLN exchange rate react to the published macroeconomic data from the American economy and second could greater USD/PLN exchange rate volatility be observed during the COVID pandemic and has the war in Ukraine impacted the USD/PLN exchange rate volatility. International Foreign Exchange Market is the largest and most dynamically developing financial market in the world. In the globalized world the exchange rates are mainly influenced by economic factors. The most significant economic factors that impact short-term exchange rate volatility are primarily macroeconomic data from the American economy. Therefore in this article the author attempts to analyze macroeconomic data and their impact on short-term USD/PLN exchange rate volatility. Data based on which the research was made is as follows: Consumer Price Index, Non-Farm Payrolls (NFP), Services PMI, Manufacturing PMI, Empire State Manufacturing Index or Retail Sales. The analysis of connections between the publication of macroeconomic data and the reaction of exchange rates was carried out using the linear regression model with GARCH process for the random parameter. Conclusions of this research is exchange rate volatility USD/PLN was higher after publications of the macroeconomic data from Americans economy. The strongest exchange rate reaction was after publication of data regarding inflation, Manufacturing PMI and Retail Sales. In the COVID (1.03.20—14.02.22) period we observed increased USD/PLN exchange rate volatility. Exchange rate volatility was expressly larger in the period of war in Ukraine (15.02.22 – end of experiment).https://doi.org/10.2478/fiqf-2023-0001foreign exchange marketscurrency exchange ratesgarch modelc51e44f31 |
| spellingShingle | Pasionek Jolanta Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data Financial Internet Quarterly foreign exchange markets currency exchange rates garch model c51 e44 f31 |
| title | Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data |
| title_full | Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data |
| title_fullStr | Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data |
| title_full_unstemmed | Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data |
| title_short | Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data |
| title_sort | reaction of the usd pln currency pair exchange rate to the published macroeconomic data |
| topic | foreign exchange markets currency exchange rates garch model c51 e44 f31 |
| url | https://doi.org/10.2478/fiqf-2023-0001 |
| work_keys_str_mv | AT pasionekjolanta reactionoftheusdplncurrencypairexchangeratetothepublishedmacroeconomicdata |