1 / 23

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

dasan
Télécharger la présentation

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

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  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

More Related