The Impact of German Macroeconomic News on Emerging European Forex Markets
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The Impact of German Macroeconomic News on Emerging European Forex Markets
Popis výsledku v původním jazyce
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).
Název v anglickém jazyce
The Impact of German Macroeconomic News on Emerging European Forex Markets
Popis výsledku anglicky
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).
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50201 - Economic Theory
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Prague Economic Papers
ISSN
1210-0455
e-ISSN
—
Svazek periodika
27
Číslo periodika v rámci svazku
5
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
17
Strana od-do
505-521
Kód UT WoS článku
000448762000001
EID výsledku v databázi Scopus
2-s2.0-85062376394