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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 | 2018-06-21T10:14:51Z | - |
dc.date.available | 2018-10-26 | - |
dc.date.available | 2018-06-21T10:14:51Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Research in International Business and Finance, 2018 | en_US |
dc.identifier.issn | 0275-5319 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/16406 | - |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Emerging markets | en_US |
dc.subject | Exchange rates | en_US |
dc.subject | GARCH model | en_US |
dc.subject | Macro news | en_US |
dc.title | Exchange rates and macro news in emerging markets | en_US |
dc.type | Article | en_US |
dc.relation.isPartOf | Research in International Business and Finance | - |
pubs.publication-status | Accepted | - |
Appears in Collections: | Dept of Economics and Finance Embargoed Research Papers |
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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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