@techreport{Buttner2008related,
abstract = {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.},
address = {Marburg},
author = {David B\"{u}ttner and Bernd Hayo},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; G15; F30; 330; Financial markets; Czech Republic; Hungary; Poland; political news; macroeconomic shocks; European Monetary Union},
language = {eng},
number = {2008,15},
publisher = {Univ., Dep. of Business Administration & Economics},
title = {EMU-related news and financial markets in the Czech Republic, Hungary, and Poland},
type = {Joint discussion paper series in economics},
url = {http://hdl.handle.net/10419/30089},
year = {2008}
}
