Macro News and Exchange Rates in the BRICS

Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

No 5748, CESifo Working Paper Series from CESifo

Abstract: This paper examines the effects of newspaper headlines on the exchange rates visa-a-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the possible impact of the recent financial crisis as well. The results differ across countries, but provide in a number of cases evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly global role of these countries, their FX markets have become more responsive to foreign news.

Keywords: BRICS; exchange rates; GARCH model; macro news (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Macro news and exchange rates in the BRICS (2017)
Working Paper: Macro News and Exchange Rates in the BRICS (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_5748

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