Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/16406
Title: | Exchange rates and macro news in emerging markets |
Authors: | Caporale, GM Spagnolo, F Spagnolo, N |
Keywords: | Emerging markets;Exchange rates;GARCH model;Macro news |
Issue Date: | 2018 |
Publisher: | Elsevier |
Citation: | Research in International Business and Finance, 2018 |
Abstract: | This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results suggest limited dynamic linkages between the first moments compared to the second moments, causalityin- variance being found in a number of cases; further, the recent global financial crisis appears to have had a significant impact. The conditional correlations also provide evidence of co-movement. Finally, as expected the impact of news is more muted in the case of managed currencies, significant spillovers only being found in the case of foreign news in the crisis period. |
URI: | http://bura.brunel.ac.uk/handle/2438/16406 |
ISSN: | 0275-5319 |
Appears in Collections: | Dept of Economics and Finance Embargoed Research Papers |
Files in This Item:
File | Description | Size | Format | |
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Fulltext.pdf | Embargoed until 26th Oct 2021 | 463.13 kB | Adobe PDF | View/Open |
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