Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30089
Authors: 
Büttner, David
Hayo, Bernd
Year of Publication: 
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

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