A Study of the Effects of the Economic Indicators Releasing on the Commodity Currencies Exchange Rates.
Date Issued
2014
Date
2014
Author(s)
Shih, Wen-Yao
Abstract
This thesis investigated the effects of the economic indicators releasing on the commodity currencies exchange rates. We analyzed the intraday rate fluctuations at five-minute increment from the January of 2008 to the May of 2014. Then the jump of exchange rates was determined via z-value method. Based on the commodity currencies of Australia, Canada, and South Africa, we developed a regressive model to correlate the occurrence of exchange rate jump to the discrepancy between the announced China’s economic indicators and market expectation. Whether the effect of these economic indicators on the exchange rate jump was significant was determined by using t-value test. Finally, the probability of the exchange rate jump was estimated if these economic indicators exceeded marker expectation. The analysis in this these shows that the HSBC Manufacturing Purchasing Managers Index（PMI）is the most representative among all given China economic indicators. When the HSBC PMI was announced and exceeded market expectation, all the commodity currencies significantly jumped at five minutes later. The PMI published by the China’s officials is the second representative indicator. It has more prominent influence on the market in comparison with the PMI’s published by the other four countries that also issue commodity currencies. The results indicator that Chinese economic indicators have substantial influence on the global market. But the indicators published by non-government institution are more trustworthy than official ones.
Subjects
China
economic indicator
Foreign exchange rate
commodity currency
jump
Type
thesis
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