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The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland

  • David Büttner
  • Bernd Hayo
  • Matthias Neuenkirch

    ()

In 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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File URL: http://hdl.handle.net/10.1007/s10663-010-9153-0
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Article provided by Springer in its journal Empirica.

Volume (Year): 39 (2012)
Issue (Month): 1 (February)
Pages: 19-44

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Handle: RePEc:kap:empiri:v:39:y:2012:i:1:p:19-44
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