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The Impact Of Political And Economic News On The Euro/Ron Exchange Rate: A Garch Approach

Author

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  • Cristi Spulbar

    (University of Craiova, Faculty of Economics and Business Administration)

  • Mihai Nitoi

    (University of Craiova, Faculty of Economics and Business Administration)

Abstract

Within this study we try to capture the impact of political news and economic news from euro area on the exchange rate between Romanian currency and euro. In order to do this we used a GARCH model. As we observed, both variables influence the exchange rate, this fact implying national currency depreciation and a volatility growth. The political news and the economic news positively affect the euro/ron exchange rate volatility. The two factors conjugation, as it has happened in the recent period is to be avoided because it can have financial and economic consequences with a very high cost for Romania.

Suggested Citation

  • Cristi Spulbar & Mihai Nitoi, 2012. "The Impact Of Political And Economic News On The Euro/Ron Exchange Rate: A Garch Approach," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 52-58, December.
    • Handle: RePEc:cbu:jrnlec:y:2012:v:4i:p:52-58
    as

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    References listed on IDEAS

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