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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Spagnolo, F | - |
dc.contributor.author | Spagnolo, N | - |
dc.date.accessioned | 2016-12-14T15:53:06Z | - |
dc.date.available | 2016-12-14T15:53:06Z | - |
dc.date.issued | 2016-12-13 | - |
dc.identifier | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier | ORCID iD: Fabio Spagnolo https://orcid.org/0000-0001-9043-4133 | - |
dc.identifier | ORCID iD: Nicola Spagnolo https://orcid.org/0000-0002-1663-2104 | - |
dc.identifier.citation | Caporale, GM., Spagnolo, F. and Spagnolo, N. (2017) 'Macro news and exchange rates in the BRICS', Finance Research Letters, 21 (March 2017), pp. 140 - 143. doi: 10.1016/j.frl.2016.12.002. | en_US |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/13646 | - |
dc.description | JEL classification: C32; F36; G15. | - |
dc.description.abstract | Copyright © 2016 The Author(s). This paper examines the effects of newspaper headlines on the exchange rates vis-a-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000–12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the possible impact of the recent financial crisis as well. The results differ across countries, but provide in a number of cases evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly global role of these countries, their FX markets have become more responsive to foreign news. | en_US |
dc.format.extent | 140 - 143 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | Copyright © 2016 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license. ( https://creativecommons.org/licenses/by/4.0/ ). | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | BRICS | en_US |
dc.subject | exchange Rates | en_US |
dc.subject | GARCH model | en_US |
dc.subject | macro news | en_US |
dc.title | Macro news and exchange rates in the BRICS | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.frl.2016.12.002 | - |
dc.relation.isPartOf | Finance Research Letters | - |
pubs.publication-status | Published | - |
dc.identifier.eissn | 1544-6131 | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2016 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license. ( https://creativecommons.org/licenses/by/4.0/ ). | 282.01 kB | Adobe PDF | View/Open |
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