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Philipps-Universität Marburg >
Faculty of Business Administration and Economics, Philipps-Universität Marburg >
MAGKS Joint Discussion Paper Series in Economics, Universität Marburg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/30089
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Büttner, David | | en_US |
| dc.contributor.author | | Hayo, Bernd | | en_US |
| dc.date.accessioned | | 2009-08-12 | | en_US |
| dc.date.accessioned | | 2010-03-05T15:40:25Z | | - |
| dc.date.available | | 2010-03-05T15:40:25Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/30089 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Dep. of Business Administration & Economics Marburg | | en_US |
| dc.relation.ispartofseries | | Joint discussion paper series in economics 2008,15 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G15 | | en_US |
| dc.subject.jel | | F30 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Financial markets | | en_US |
| dc.subject.keyword | | Czech Republic | | en_US |
| dc.subject.keyword | | Hungary | | en_US |
| dc.subject.keyword | | Poland | | en_US |
| dc.subject.keyword | | political news | | en_US |
| dc.subject.keyword | | macroeconomic shocks | | en_US |
| dc.subject.keyword | | European Monetary Union | | en_US |
| dc.title | | EMU-related news and financial markets in the Czech Republic, Hungary, and Poland | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 606629386 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | MAGKS Joint Discussion Paper Series in Economics, Universität Marburg
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