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EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland

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Author Info
David Büttner () (Faculty of Business Administration and Economics, Philipps Universitaet Marburg)
Bernd Hayo () (Faculty of Business Administration and Economics, Philipps Universitaet Marburg)

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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.

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File URL: http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/15-2008_BAttner.pdf
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Publisher Info
Paper provided by Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) in its series MAGKS Papers on Economics with number 200815.

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Length: 31 pages
Date of creation: 2008
Date of revision:
Publication status: Forthcoming in
Handle: RePEc:mar:magkse:200815

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Web page: http://www.uni-marburg.de/fb02/
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Related research
Keywords: Financial markets; Czech Republic; Hungary; Poland; political news; macroeconomic shocks; European Monetary Union;

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
F30 - International Economics - - International Finance - - - General

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  10. Andritzky, Jochen R. & Bannister, Geoffrey J. & Tamirisa, Natalia T., 2007. "The impact of macroeconomic announcements on emerging market bonds," Emerging Markets Review, Elsevier, vol. 8(1), pages 20-37, March. [Downloadable!] (restricted)
    Other versions:
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