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News and correlations of CEEC-3 financial markets
Büttner, David; Hayo, Bernd - 2009
foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market …
Persistent link: https://www.econbiz.de/10010271169
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News and Correlations of CEEC-3 Financial Markets
Büttner, David; Hayo, Bernd - Volkswirtschaft Abteilung, Fachbereich … - 2009
foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market …
Persistent link: https://www.econbiz.de/10008552454
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Central bank communication and correlation between financial markets: Canada and the United States
Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...
Persistent link: https://www.econbiz.de/10010286380
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Central bank communication and correlation between financial markets : Canada and the United States
Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012 - This version: 5 January 2012
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...
Persistent link: https://www.econbiz.de/10009409360
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EMU-related news and financial markets in the Czech Republic, Hungary, and Poland
Büttner, David; Hayo, Bernd - 2008
We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values....
Persistent link: https://www.econbiz.de/10003865756
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The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland
Büttner, David; Hayo, Bernd; Neuenkirch, Matthias - 2009
In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact on daily returns of three-month interest rates, stock market indices, exchange rates...
Persistent link: https://www.econbiz.de/10003849424
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News and correlations of CEEC-3 financial markets
Büttner, David; Hayo, Bernd - 2009
foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market … ; political news ; macroeconomic shocks ; contagion ; DCC-MGARCH …
Persistent link: https://www.econbiz.de/10003908157
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Central Bank Communication and Correlation between Financial Markets : Canada and the United States
Beck, Melanie-Kristin - 2012
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2009 in the framework of diagonal-BEKK models. Our research question is whether monetary policy actions and communications by the Bank of Canada and the Federal...
Persistent link: https://www.econbiz.de/10013112889
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Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...
Persistent link: https://www.econbiz.de/10010286429
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Monetary policy spillovers and emerging market credit : the impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...
Persistent link: https://www.econbiz.de/10009304122