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Macro News and Exchange Rates in the BRICS
| Content Provider | Scilit |
|---|---|
| Author | Caporale, Guglielmo Maria Spagnolo, Fabio Spagnolo, Nicola |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal This paper examines the effects of newspaper headlines on the exchange rates vis-à-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. |
| Related Links | http://www.diw.de/documents/publikationen/73/diw_01.c.526331.de/dp1545.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2730462 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2730462 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-02-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Industrial Relations Exchange Rates Garch Model Macro News |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
