EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland
David Büttner () and
Bernd Hayo ()
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David Büttner: Philipps-University Marburg
No 200815, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
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: Financial markets; Czech Republic; Hungary; Poland; political news; macroeconomic shocks; European Monetary Union (search for similar items in EconPapers)
JEL-codes: F30 G12 G15 (search for similar items in EconPapers)
Pages: 31 pages
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
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https://www.uni-marburg.de/en/fb02/research-groups ... 15-2008_buettner.pdf Second version, 2009 (application/pdf)
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 (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:200815
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