Guglielmo Maria Caporale

finance seminar

Guglielmo Maria Caporale

Brunel University London
Exchange rates and macro news in emerging markets
Co-écrit avec
Fabio Spagnolo, Nicola Spagnolo

Château Lafarge

Château Lafarge - Salle de séminaires
Château Lafarge
Route des Milles
13290 Les Milles
Mardi 25 avril 2017| 14:30

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


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.