The Impact of German Macroeconomic News on Emerging European Forex Markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10382002" target="_blank" >RIV/00216208:11230/18:10382002 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.18267/j.pep.670" target="_blank" >https://doi.org/10.18267/j.pep.670</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/j.pep.670" target="_blank" >10.18267/j.pep.670</a>
Alternative languages
Result language
angličtina
Original language name
The Impact of German Macroeconomic News on Emerging European Forex Markets
Original language description
This paper analyses the impact of German macroeconomic news announcements and ECB meeting days on the conditional volatility of the Czech, Polish, and Hungarian Foreign Exchange markets as proxied by CZK/EUR, PLN/EUR, and HUF/EUR exchange rate returns over six years (2010-2015). A currency intervention period (11/2013-2015) in the Czech Republic is examined separately. EGARCH-type models with normal and Student's t-distributions are employed. The comprehensive analysis shows the following results. (i) The IFO index, Factory Orders increase and the PMI index from the Service Sector, the labour market data decrease conditional volatility of PLN/EUR. (ii) The IFO index and Industrial Production increase conditional volatility of HUF/EUR on the day of the announcement. (iii) Data from the labour market has a calming effect on CZK/EUR after the central bank launched currency interventions. (iv) IFO index increases and the PMI index from the Manufacturing Sector decreases conditional volatility of CZK/EUR before currency interventions were introduced (2010-11/2013).
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Prague Economic Papers
ISSN
1210-0455
e-ISSN
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Volume of the periodical
27
Issue of the periodical within the volume
5
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
17
Pages from-to
505-521
UT code for WoS article
000448762000001
EID of the result in the Scopus database
2-s2.0-85062376394