Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129749
Authors: 
Caporale, Guglielmo Maria
Spagnolo, Fabio
Spagnolo, Nicola
Year of Publication: 
2016
Series/Report no.: 
DIW Discussion Papers 1558
Abstract: 
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results suggest limited dynamic linkages between the first moments compared to the second moments, causality-in-variance being found in a number of cases. The conditional correlations also provide evidence of co-movement. Finally, the recent global financial crisis appears to have had a significant impact.
Subjects: 
Emerging markets
Exchange Rates
GARCH model
Macro news
JEL: 
C32
F36
G15
Document Type: 
Working Paper

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