EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland
We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values. EMU-relat...
Saved in:
| Published in: | MAGKS - Joint Discussion Paper Series in Economics (Band 15-2008) |
|---|---|
| Main Authors: | , |
| Format: | Work |
| Language: | English |
| Published: |
Philipps-Universität Marburg
2008
|
| Subjects: | |
| Online Access: | PDF Full Text |
| Tags: |
No Tags, Be the first to tag this record!
|
| Summary: | We analyse the impact of news on five financial markets in the Czech Republic, Hungary and
Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks
(on GDP, inflation rate, current account and trade balance) are constructed as deviations from
expected values. EMU-related political and fiscal news is captured as news dummies.
Macroeconomic shocks significantly affect short-term interest rates and, to a lesser extent,
other financial variables. Political and fiscal news has an impact on long-term bond yields and
exchange rates. News displayed prominently in our media sources has a greater impact on
financial markets than other news and, in addition, the sources of news themselves matter. We
also discover asymmetric effects of news within markets. Finally, using a pooled GARCH
model we find that macroeconomic shocks have the strongest impact on financial markets in
Hungary, while political news has the largest influence in both Hungary and Poland. |
|---|---|
| Physical Description: | 31 Pages |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2023.0202 |