Exchange rates and macro news in emerging markets
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, Indonesi...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Elsevier Ltd
2018
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Subjects: | |
Online Access: | View Fulltext in Publisher |