Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/30089 
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dc.contributor.authorBüttner, Daviden
dc.contributor.authorHayo, Bernden
dc.date.accessioned2009-08-12-
dc.date.accessioned2010-03-05T15:40:25Z-
dc.date.available2010-03-05T15:40:25Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x2008,15en
dc.subject.jelG12en
dc.subject.jelG15en
dc.subject.jelF30en
dc.subject.ddc330en
dc.subject.keywordFinancial marketsen
dc.subject.keywordCzech Republicen
dc.subject.keywordHungaryen
dc.subject.keywordPolanden
dc.subject.keywordpolitical newsen
dc.subject.keywordmacroeconomic shocksen
dc.subject.keywordEuropean Monetary Unionen
dc.titleEMU-related news and financial markets in the Czech Republic, Hungary, and Poland-
dc.type|aWorking Paperen
dc.identifier.ppn606629386en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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