THE IMPACT OF POLITICAL AND ECONOMIC NEWS ON THE EURO/RON EXCHANGE RATE: A GARCH APPROACH

Cristi Spulbar (cristi_spulbar@yahoo.com) and Mihai Nitoi
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Mihai Nitoi: University of Craiova, Faculty of Economics and Business Administration

Annals - Economy Series, 2012, vol. 4I, 52-58

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.

Keywords: political news; economic news; exchange rate; volatility clustering; GARCH model (search for similar items in EconPapers)
Date: 2012
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