Abstract:

Purpose: The foreign exchange market is the largest and most dynamic financial market globally, with exchange rates primarily influenced by economic factors. Macroeconomic data from the United States play a crucial role in driving short-term volatility. The study presented in this article examines the impact of U.S. macroeconomic data releases on short-term USD/PLN exchange rate volatility under conditions of imperfect information. The research aimed to identify which macroeconomic indicators have the most significant effect on the fluctuations of this currency pair.

Design/Methodology/Approach:The study utilizes regression and statistical analysis techniques, incorporating a linear regression model with a GARCH process for the stochastic component. Model parameters were estimated using 30-minute exchange rate data for three analyzed currency pairs. The estimation was performed in Stata 15, with exchange rate data sourced from the MetaTrader 4 trading platform. The study also leveraged the macroeconomic calendar from Investing.com, a globally recognized financial platform. The econometric analysis covers the period from October 2018 to December 2023, comprising 65,000 USD/PLN exchange rate observations.The study analyzed indicators such as New Home Sales, Unemployment Claims, CPI, Non-Farm Employment Change, CB Consumer Confidence, and Retail Sales. The analysis was conducted using a linear regression model with a GARCH process.