Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128446
Authors: 
Caporale, Guglielmo Maria
Spagnolo, Fabio
Spagnolo, Nicola
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper 5748
Abstract: 
This paper examines the effects of newspaper headlines on the exchange rates visa-a-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the possible impact of the recent financial crisis as well. The results differ across countries, but provide in a number of cases evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly global role of these countries, their FX markets have become more responsive to foreign news.
Subjects: 
BRICS
exchange rates
GARCH model
macro news
JEL: 
C32
F36
G15
Document Type: 
Working Paper

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