Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/30089
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Büttner, David | en |
dc.contributor.author | Hayo, Bernd | en |
dc.date.accessioned | 2009-08-12 | - |
dc.date.accessioned | 2010-03-05T15:40:25Z | - |
dc.date.available | 2010-03-05T15:40:25Z | - |
dc.date.issued | 2008 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburg | en |
dc.relation.ispartofseries | |aMAGKS Joint Discussion Paper Series in Economics |x2008,15 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | G15 | en |
dc.subject.jel | F30 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Financial markets | en |
dc.subject.keyword | Czech Republic | en |
dc.subject.keyword | Hungary | en |
dc.subject.keyword | Poland | en |
dc.subject.keyword | political news | en |
dc.subject.keyword | macroeconomic shocks | en |
dc.subject.keyword | European Monetary Union | en |
dc.title | EMU-related news and financial markets in the Czech Republic, Hungary, and Poland | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 606629386 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.