Exchange rates and macro news in emerging markets

Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

Research in International Business and Finance, 2018, vol. 46, issue C, 516-527

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-a-vis 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; further, the recent global financial crisis appears to have had a significant impact. The conditional correlations also provide evidence of co-movement. Finally, as expected the impact of news is more muted in the case of managed currencies, significant spillovers only being found in the case of foreign news in the crisis period.

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)
Date: 2018
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: Exchange Rates and Macro News in Emerging Markets (2016)
Working Paper: Exchange Rates and Macro News in Emerging Markets (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:46:y:2018:i:c:p:516-527

DOI: 10.1016/j.ribaf.2018.06.007

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