EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland
Bernd Hayo () and
David Buettner ()
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David Buettner: Philipps-University Marburg - Philipps Universität Marburg
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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)
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Published in Applied Economics, Taylor & Francis (Routledge), 2011, pp.1. ⟨10.1080/00036846.2011.587775⟩
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Journal Article: EMU-related news and financial markets in the Czech Republic, Hungary and Poland (2012)
Working Paper: EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00716632
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