Exchange Rates and Macro News in Emerging Markets

Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

No 1558, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

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.

Keywords: Emerging markets; Exchange Rates; GARCH model; Macro news (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Pages: 20 p.
Date: 2016
New Economics Papers: this item is included in nep-mon and nep-sea
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Exchange rates and macro news in emerging markets (2018)
Working Paper: Exchange Rates and Macro News in Emerging Markets (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1558

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