Exchange rates and macro news in emerging markets

Guglielmo Caporale, Fabio Spagnolo, Nicola Spagnolo

    Research output: Contribution to journalArticle

    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-a-vis 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; 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.
    Original languageEnglish
    Pages (from-to)516-527
    JournalResearch in International Business and Finance
    Volume46
    DOIs
    Publication statusPublished - 2018

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