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Exchange Rates and Macro News in Emerging Markets

Author

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  • Guglielmo Maria Caporale
  • Fabio Spagnolo
  • Nicola Spagnolo

Abstract

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results suggest limited dynamic linkages between the first moments compared to the second moments, causality-in-variance being found in a number of cases. The conditional correlations also provide evidence of co-movement. Finally, the recent global financial crisis appears to have had a significant impact.

Suggested Citation

  • Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016. "Exchange Rates and Macro News in Emerging Markets," CESifo Working Paper Series 5816, CESifo Group Munich.
  • Handle: RePEc:ces:ceswps:_5816
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    References listed on IDEAS

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    1. repec:eee:riibaf:v:48:y:2019:i:c:p:321-334 is not listed on IDEAS

    More about this item

    Keywords

    emerging markets; exchange rates; GARCH model; macro news;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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