The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland
Loading...
Date
Journal Title
Journal ISSN
Volume Title
Publisher
Philipps-Universität Marburg
Abstract
In this paper, we investigate the effects of euro area and US macroeconomic news on financial
markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a
GARCH model, we examine the impact of news on daily returns of three-month interest rates,
stock market indices, exchange rates versus the euro, and the US dollar. First, both US and
European macroeconomic news has a significant impact on CEEC-3 financial markets. Second,
the process of European integration is accompanied by an increasing importance of euro area
news relative to US news. Third, there are country-specific differences: for example, the Czech
stock market is relatively more affected by foreign news since the Copenhagen Summit in
December 2002. In general, our results support the hypothesis of a deepening euro area influence
on the CEEC-3 over time and a corresponding reduction in the relative importance of US shocks.
Keywords
Financial Markets, Czech Republic, European Monetary Union, Poland, Hungary, Macroeconomic News