scholarly journals Measuring Inflation Expectations Uncertainty Using High-Frequency Data

2018 ◽  
Vol 50 (6) ◽  
pp. 1139-1166 ◽  
Author(s):  
JOSHUA C.C. CHAN ◽  
YONG SONG
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Inflation Expectations ◽  
Frequency Data

scholarly journals The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements

2021 ◽  
Vol 111 (4) ◽  
pp. 1092-1125
Author(s):  
Diego R. Känzig
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Inflation Expectations ◽  
Frequency Data ◽  
Oil Supply ◽  
Us Economy ◽  
News Shock ◽  
The Us ◽  
Negative News ◽  
Macroeconomic Effects

This paper studies how changes in oil supply expectations affect the oil price and the macroeconomy. Using a novel identification design, exploiting institutional features of OPEC and high-frequency data, I identify an oil supply news shock. These shocks have statistically and economically significant effects. Negative news leads to an immediate increase in oil prices, a gradual fall in oil production, and an increase in inventories. This has consequences for the US economy: activity falls, prices and inflation expectations rise, and the dollar depreciates, providing evidence for a strong channel operating through supply expectations. (JEL E31, E32, F31, Q35, Q38, Q43)

Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

2017 ◽  
Author(s):  
Rim mname Lamouchi ◽  
Russell mname Davidson ◽  
Ibrahim mname Fatnassi ◽  
Abderazak Ben mname Maatoug
Keyword(s):  
Exchange Rate ◽  
High Frequency ◽  
Realized Volatility ◽  
High Frequency Data ◽  
Frequency Data
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