Advanced search ?

Object

Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland
Download

Title: Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland

Creator:

Brzeszczyński, Janusz ; Gajdka, Jerzy ; Ali, M.Kutan

Description:

Argumenta Oeconomica, 2017, Nr 2 (39), s. 21-60

Abstrakt:

We analyze the impact of monetary policy communication of the National Bank of Poland (NBP), i.e. the NBP announcements of interest rates changes and the release of new macroeconomic figures, on the Polish financial market in its two main segments: the foreign exchange market and the stock market, and we provide evidence on how they react to public information from the NBP. In particular, we are interested in the uncertainty (i.e. risk) effects and the wealth (i.e. return) effects of the NBP communication, i.e. whether the NBP announcements had any influence on stock and foreign exchange returns and on the activity of those two markets. Using GARCH methodology, we document the negative effects in the conditional variance of GARCH class models of WIG index volume of trade and WIG returns as well as PLN/USD bid-ask spread and PLN/USD returns, which suggests the existence of the calming effects of the NBP communication with financial markets on their price volatility and on the changes of their activity. The evidence presented in our study indicates that the NBP announcements had stabilizing effects on the stock and foreign exchange markets in Poland

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Resource Identifier:

oai:dbc.wroc.pl:38696

Language:

eng

Relation:

Argumenta Oeconomica, 2017, Nr 2 (39)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Argumenta Oeconomica

Format:

application/pdf

Subject and keywords:

macroeconomic announcements interest rates National Bank of Poland (NBP) foreign exchange markets stock market returns volatility market activity

Object collections:

Last modified:

May 26, 2022

In our library since:

Dec 11, 2017

Number of object content hits:

691

Number of object content views in PDF format

723

All available object's versions:

https://www.dbc.wroc.pl/publication/43053

Show description in RDF format:

RDF

Show description in OAI-PMH format:

OAI-PMH

Edition name Date
Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland May 26, 2022

Objects Similar
Aktywna polityka rynku pracy w województwie dolnośląskim

Cutter, Magdalena Katarzyna Pisz, Zdzisław. Promotor

2012
rozprawa doktorska
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Zmienność wartości współczynników beta w czasie na polskim rynku kapitałowym

Brzeszczyński, Janusz Gajdka, Jerzy Schabek, Tomasz

2010
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Zarządzanie zyskiem w polskich spółkach giełdowych

Schabek, Tomasz Gajdka, Jerzy Brzeszczyński, Janusz

2010
artykuł
Prace Naukowe Akademii Ekonomicznej im. Oskara Langego we Wrocławiu
Prace Naukowe Akademii Ekonomicznej im. Oskara Langego we Wrocławiu
Aplikacja modeli klasy ARCH do estymacji parametru beta przy uwzględnieniu stóp zwrotu dla różnych interwałów czasowych

Brzeszczyński, Janusz Gajdka, Jerzy Schabek, Tomasz

2008
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Ethics of microfinance in the perspective of profit as the element influencing microloan interest rate – selected problems.

Adamek, Jacek

2014
artykuł
Argumenta Oeconomica
Argumenta Oeconomica
Illiquid banks in an overly liquid sector. The impact of liquidity regulation on the deposit policy of listed banks in Poland

Czaplicki, Marcin

2025
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Tail Independence in Extreme Value Models - an Application for East and Central Europe Stock Exchange Markets

Trzpiot, Grażyna Majewska, Justyna

2011
artykuł
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
The day returns of WIG20 futures on the Warsaw Stock Exchange – the analysis of the day of the week effect

Widz, Ewa

2016
artykuł
More
×

Citation

Citation style:

Contact details

Address

Wrocław University of Science and Technology (Coordinator)
Library of Wrocław University of Science and Technology
Wybrzeże Wyspiańskiego 27
50-370 Wrocław, Poland

Phone

(+48) 71-320-38-30
(+48) 71-320-47-50

E-Mail

bc@pwr.edu.pl

Visit us!

https://biblioteka.pwr.edu.pl/

This page uses 'cookies'. More information