The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland
David Büttner (),
Bernd Hayo () and
Matthias Neuenkirch ()
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David Büttner: Philipps-University Marburg
No 200903, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
In this paper, we investigate the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact of news on daily returns of three-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, both US and European macroeconomic news has a significant impact on CEEC-3 financial markets. Second, the process of European integration is accompanied by an increasing importance of euro area news relative to US news. Third, there are country-specific differences: for example, the Czech stock market is relatively more affected by foreign news since the Copenhagen Summit in December 2002. In general, our results support the hypothesis of a deepening euro area influence on the CEEC-3 over time and a corresponding reduction in the relative importance of US shocks.
Keywords: Czech Republic; European Monetary Union; Financial Markets; Hungary; Macroeconomic News; Poland (search for similar items in EconPapers)
JEL-codes: G12 G15 F30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon, nep-rmg and nep-tra
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http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/03-2009_buettner.pdf Fourth version, 2010 (application/pdf)
Journal Article: The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:200903
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