EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland
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.
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Bibliographic InfoPaper 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.
Length: 31 pages
Date of creation: 2008
Date of revision:
Publication status: Forthcoming in
Financial markets; Czech Republic; Hungary; Poland; political news; macroeconomic shocks; European Monetary Union;
Other versions of this item:
- D B�ttner & B. Hayo, 2012. "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F30 - International Economics - - International Finance - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-07 (All new papers)
- NEP-CBA-2008-10-07 (Central Banking)
- NEP-EEC-2008-10-07 (European Economics)
- NEP-MAC-2008-10-07 (Macroeconomics)
- NEP-MON-2008-10-07 (Monetary Economics)
- NEP-TRA-2008-10-07 (Transition Economics)
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