News and Exchange Rate Dynamics' proposes an innovative taxonomy of news affecting exchange rates. It establishes a metrics for the impact on exchange rates movements. In doing so it provides the first results of an ongoing research activity on the economic, financial and non-financial determinants of infra daily fluctuations of exchange rates, whose ultimate goal is to explain the formation of market sentiment on one particular currency and the way it changes over time in response to the accumulation of new information. The authors provide a detailed description of the selection criteria of the news and how it impacts exchange rates.
Biography
Massimo Tivegna, born in Rome in 1945, is a Professor of Political Economy and Econometrics in the Faculty of Political Sciences at the University of Teramo and at LUISS Guido Carli, in Rome. He taught at the University of Rome Tor Vergata, at the University of Perugia and at the University of Pennsylvania. He worked in the Bank of Italy, the Confederation of Italian Industry (Confindustria) and, as a consultant, at Wharton Econometric Forecasting Associates (WEFA) in Philadelphia, Istituto Mobiliare Italiano (IMI), the General Accounting Office of the Treasury in Italy and recently at Banca di Roma. Grazia Chiofi, born in Rome in 1971, works in the Wholesale and International Banking Division of Banca Nazionale del Lavoro. She graduated at the University of Rome Tor Vergata and has been teaching ever since part-time Econometrics at Tor Vergata and at LUISS Guido Carli. Mario Sarcinelli is a Lecturer of Monetary Economics at the University of Rome La Sapienza and of Global Banking at LUISS Guido Carli. He was Deputy Director General at the Bank of Italy, where he spent a large part of his career, and later Minister of Foreign Trade, Director General of the Treasury, Operations Vice President at the EBRD and Chairman of Banca Nazionale del Lavoro.
