The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland
AbstractIn this paper, we investigate the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact of news on daily returns of three-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, both US and European macroeconomic news has a significant impact on CEEC-3 financial markets. Second, the process of European integration is accompanied by an increasing importance of euro area news relative to US news. Third, there are country-specific differences: for example, the Czech stock market is relatively more affected by foreign news since the Copenhagen Summit in December 2002. In general, our results support the hypothesis of a deepening euro area influence on the CEEC-3 over time and a corresponding reduction in the relative importance of US shocks.
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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 200903.
Length: 21 pages
Date of creation: 2009
Date of revision:
Publication status: Forthcoming in
Czech Republic; European Monetary Union; Financial Markets; Hungary; Macroeconomic News; Poland;
Other versions of this item:
- David Büttner & Bernd Hayo & Matthias Neuenkirch, 2012. "The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland," Empirica, Springer, vol. 39(1), pages 19-44, February.
- 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-2009-01-24 (All new papers)
- NEP-CBA-2009-01-24 (Central Banking)
- NEP-EEC-2009-01-24 (European Economics)
- NEP-MAC-2009-01-24 (Macroeconomics)
- NEP-MON-2009-01-24 (Monetary Economics)
- NEP-RMG-2009-01-24 (Risk Management)
- NEP-TRA-2009-01-24 (Transition Economics)
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