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<p>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).</p>
</abstract>

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).

Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data

Financial Internet Quarterly

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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...

Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data

Online veröffentlicht: 29. März 2023

Seitenbereich: 1 - 7

Eingereicht: 22. Nov. 2022

Akzeptiert: 22. Jan. 2023

DOI: https://doi.org/10.2478/fiqf-2023-0001

Schlüsselwörter
Foreign Exchange Markets, currency exchange rates, GARCH model

© 2023 Jolanta Pasionek, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data

Online veröffentlicht: 29. März 2023

Seitenbereich: 1 - 7

Eingereicht: 22. Nov. 2022

Akzeptiert: 22. Jan. 2023

DOI: https://doi.org/10.2478/fiqf-2023-0001

SchlüsselwörterForeign Exchange Markets, currency exchange rates, GARCH model

© 2023 Jolanta Pasionek, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Schlüsselwörter
Foreign Exchange Markets, currency exchange rates, GARCH model