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http://bura.brunel.ac.uk/handle/2438/13646| Title: | Macro news and exchange rates in the BRICS |
| Authors: | Caporale, GM Spagnolo, F Spagnolo, N |
| Keywords: | BRICS;exchange Rates;GARCH model;macro news |
| Issue Date: | 13-Dec-2016 |
| Publisher: | Elsevier |
| Citation: | Caporale, GM., Spagnolo, F. and Spagnolo, N. (2017) 'Macro news and exchange rates in the BRICS', Finance Research Letters, 21 (March 2017), pp. 140 - 143. doi: 10.1016/j.frl.2016.12.002. |
| Abstract: | Copyright © 2016 The Author(s). This paper examines the effects of newspaper headlines on the exchange rates vis-a-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000–12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the possible impact of the recent financial crisis as well. The results differ across countries, but provide in a number of cases evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly global role of these countries, their FX markets have become more responsive to foreign news. |
| Description: | JEL classification: C32; F36; G15. |
| URI: | https://bura.brunel.ac.uk/handle/2438/13646 |
| DOI: | https://doi.org/10.1016/j.frl.2016.12.002 |
| ISSN: | 1544-6123 |
| Other Identifiers: | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 ORCID iD: Fabio Spagnolo https://orcid.org/0000-0001-9043-4133 ORCID iD: Nicola Spagnolo https://orcid.org/0000-0002-1663-2104 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2016 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license. ( https://creativecommons.org/licenses/by/4.0/ ). | 282.01 kB | Adobe PDF | View/Open |
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