Analiza zależności pomiędzy liczbą miejsc pracy w Stanach Zjednoczonych a zmiennością kursu pary EUR/USD
Analysis Of Relationship Between The Amount Of Work In The USA And The Volatility Of The EUR/USD Exchange Rate

Summary/Abstract: The publication of data on the change in the number of jobs in the American economy causes high volatility on the currency market. The article is part of the subject of forecasting courses based on macroeconomic data. The first part of the article presents theoretical issues related to the non-agricultural payrolls indicator and the EUR/USD currency pair. The second chapter of the work presents current research results on the impact of data on the number of jobs in the non-agricultural sector in the USA on the direction and value of changes in the exchange rate of the EUR/USD pair. The last empirical part of the work presents the results of studies on the relationship between deviations from forecasts of data on the number of jobs in the non-agricultural sector in the USA and the direction and value of changes in the exchange rate of the EUR/USD pair. The aim of the publication is to answer the question of whether there is a strong linear relationship between the deviations from the forecasts for the number of jobs in the non-agricultural sector in the US and EUR/USD rate increases over periods of 15 minutes, 30 minutes, 1 hour and 4 hours after the publication of these data. On the basis of the conducted research, the hypothesis that the above-mentioned dependence was found was rejected. At each of the analyzed time intervals, the Spearman rank correlation index took values from 0.02 to 0.18.

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