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The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland
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, exc...
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| Published in: | MAGKS - Joint Discussion Paper Series in Economics (Band 03-2009) |
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| Main Authors: | , , |
| Format: | Work |
| Language: | English |
| Published: |
Philipps-Universität Marburg
2009
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| Subjects: | |
| Online Access: | PDF Full Text |
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| 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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| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2023.0217 |