Exchange Rates and Macro News in Emerging Markets

Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

No 5816, CESifo Working Paper Series from CESifo

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)
Date: 2016
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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:ces:ceswps:_5816

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