This paper examines the effects of newspaper headlines on the exchange rates vis-à-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)...

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...

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,...

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,...

This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...