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MAGKS Joint Discussion Paper Series in Economics, Universität Marburg >
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http://hdl.handle.net/10419/30089
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| Title: | | EMU-related news and financial markets in the Czech Republic, Hungary, and Poland  |
| Authors: | | Büttner, David Hayo, Bernd |
| Issue Date: | | 2008 |
| Series/Report no.: | | Joint discussion paper series in economics 2008,15 |
| 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. |
| Subjects: | | Financial markets Czech Republic Hungary Poland political news macroeconomic shocks European Monetary Union |
| JEL: | | G12 G15 F30 |
| Document Type: | | Working Paper |
| Appears in Collections: | | MAGKS Joint Discussion Paper Series in Economics, Universität Marburg
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