Macro News and Exchange Rates in the BRICS

Arbeitspapier

This paper examines the effects of newspaper headlines on the exchange rates visa-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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 5748

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Aspects of Economic Integration ; International Financial Markets
• Subject: BRICS ; exchange rates ; GARCH model ; macro news

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Caporale, Guglielmo Maria ; Spagnolo, Fabio ; Spagnolo, Nicola
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/128446
• Last update: 10.03.2025, 11:44 AM CET