NDLI: Exchange Rates and Macro News in Emerging Markets

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Exchange Rates and Macro News in Emerging Markets

Content Provider	Scilit
Author	Caporale, Guglielmo Maria Spagnolo, Fabio Spagnolo, Nicola
Copyright Year	2016
Description	Journal: SSRN Electronic Journal 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, causality-in-variance being found in a number of cases. The conditional correlations also provide evidence of co-movement. Finally, the recent global financial crisis appears to have had a significant impact.
Related Links	http://bura.brunel.ac.uk/bitstream/2438/16406/1/Fulltext.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2748468
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2748468
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2016-03-07
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Development Studies Emerging Markets Exchange Rates Garch Model Macro News
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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