EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland

David Büttner () and Bernd Hayo
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David Büttner: Philipps-University Marburg

No 200815, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values. EMU-related political and fiscal news is captured as news dummies. Macroeconomic shocks significantly affect short-term interest rates and, to a lesser extent, other financial variables. Political and fiscal news has an impact on long-term bond yields and exchange rates. News displayed prominently in our media sources has a greater impact on financial markets than other news and, in addition, the sources of news themselves matter. We also discover asymmetric effects of news within markets. Finally, using a pooled GARCH model we find that macroeconomic shocks have the strongest impact on financial markets in Hungary, while political news has the largest influence in both Hungary and Poland.

Keywords: Financial markets; Czech Republic; Hungary; Poland; political news; macroeconomic shocks; European Monetary Union (search for similar items in EconPapers)
JEL-codes: F30 G12 G15 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
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Citations: View citations in EconPapers (2)

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https://www.uni-marburg.de/en/fb02/research-groups ... 15-2008_buettner.pdf Second version, 2009 (application/pdf)

Related works:
Journal Article: EMU-related news and financial markets in the Czech Republic, Hungary and Poland (2012)
Working Paper: EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:200815

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