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http://hdl.handle.net/10419/30089
  

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dc.contributor.authorBüttner, Daviden_US
dc.contributor.authorHayo, Bernden_US
dc.date.accessioned2009-08-12en_US
dc.date.accessioned2010-03-05T15:40:25Z-
dc.date.available2010-03-05T15:40:25Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/30089-
dc.description.abstractWe 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.isoengen_US
dc.publisherUniv., Dep. of Business Administration & Economics Marburgen_US
dc.relation.ispartofseriesJoint discussion paper series in economics 2008,15en_US
dc.subject.jelG12en_US
dc.subject.jelG15en_US
dc.subject.jelF30en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial marketsen_US
dc.subject.keywordCzech Republicen_US
dc.subject.keywordHungaryen_US
dc.subject.keywordPolanden_US
dc.subject.keywordpolitical newsen_US
dc.subject.keywordmacroeconomic shocksen_US
dc.subject.keywordEuropean Monetary Unionen_US
dc.titleEMU-related news and financial markets in the Czech Republic, Hungary, and Polanden_US
dc.typeWorking Paperen_US
dc.identifier.ppn606629386en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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