EconPapers    
Economics at your fingertips  
 

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

Bernd Hayo and David Buettner ()
Additional contact information
David Buettner: Philipps-University Marburg - Philipps Universität Marbug

Post-Print from HAL

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: Social; Sciences; &; Humanities (search for similar items in EconPapers)
Date: 2011-07-11
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00716632
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Applied Economics, Taylor & Francis (Routledge), 2011, pp.1. 〈10.1080/00036846.2011.587775〉

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00716632/document (application/pdf)

Related works:
Journal Article: EMU-related news and financial markets in the Czech Republic, Hungary and Poland (2012) Downloads
Working Paper: EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00716632

DOI: 10.1080/00036846.2011.587775

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-04-24
Handle: RePEc:hal:journl:hal-00716632