Exchange rate market reactions to digital currency communications

ABSTRACT

We employ the GARCH-MIDAS-type model, demonstrating that the exchange rate market reacts negatively to digital currency communications. Thus, the digital currency communication could effectively stabilize the exchange rate markets.

KEYWORDS:

• Exchange rate
• GARCH-MIDAS
• central bank communications
• digital currency

JEL CLASSIFICATION:

• G15
• O33

Disclosure statement

No potential conflict of interest was reported by the author(s).

Data availability statement

Data will be made available on request.

Notes

¹ 16 keywords include: digital currency, digital economy, digital finance, bitcoin, CBDC, DCEP, digital RMB, virtual currency, e-wallet, e-payment, cryptocurrency, cloud computing, blockchain, e-cash, financial technology, and online consumption.

Additional information

Funding

This work was supported by the Basic and Applied Basic Research Foundation of Guangdong Province [2022A1515110551]; China Postdoctoral Science Foundation [2022M723680].