Dokument
| Titel: | The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland |
| Autor: | Büttner, David |
| Weitere Verfasser: | Hayo, Bernd; Neuenkirch, Matthias |
| Veröffentlicht: | 2009 |
| URI: | https://archiv.ub.uni-marburg.de/es/2023/0217 |
| DOI: | https://doi.org/10.17192/es2023.0217 |
| ISSN: | 1867-3678 |
| DDC: | 330 Wirtschaft |
| Publikationsdatum: | 2023-12-21 |
| Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
| Schlagwörter: |
|---|
| Hungary, Macroeconomic News, Czech Republic, Financial Markets, Poland, European Monetary Union |
Summary:
In this paper, we investigate the effects of euro area and US macroeconomic news on financial
markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a
GARCH model, we examine the impact of news on daily returns of three-month interest rates,
stock market indices, exchange rates versus the euro, and the US dollar. First, both US and
European macroeconomic news has a significant impact on CEEC-3 financial markets. Second,
the process of European integration is accompanied by an increasing importance of euro area
news relative to US news. Third, there are country-specific differences: for example, the Czech
stock market is relatively more affected by foreign news since the Copenhagen Summit in
December 2002. In general, our results support the hypothesis of a deepening euro area influence
on the CEEC-3 over time and a corresponding reduction in the relative importance of US shocks.
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