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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&apos;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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50201 - Economic Theory

Result continuities

  • Project

  • 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

  • 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