Guglielmo Maria Caporale

finance seminar

Guglielmo Maria Caporale

Brunel University London
Exchange rates and macro news in emerging markets
Joint with
Fabio Spagnolo, Nicola Spagnolo
Venue

Château Lafarge

Château Lafarge - Salle de séminaires
Château Lafarge
Route des Milles
13290 Les Milles
Date(s)
Tuesday, April 25 2017| 2:30pm
Contact(s)

Eric Girardin: eric.girardin[at]univ-amu.fr
Christelle Lecourt: christelle.lecourt[at]univ-amu.fr
Jean-François Carpantier: jean-francois.carpantier[at]univ-amu.fr

Abstract

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-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results suggest limited dynamic linkages between the first moments compared to the second moments, causalityin-variance being found in a number of cases. The conditional correlations also provide evidence of co-movement. Finally, the recent global financial crisis appears to have had a significant impact.