Abstract
Macroeconomic Determinants of the Currency and Stock Market Shocks: A Panel VAR Approach
Highlights
The modern monetary policy of central banks implies no immediate measures against inflation spikes, the reaction of markets to publication of price indices is quite slow as compared to Keywords: currency shock, Panel Vector official announcements about interest rate changes
Autoregression, VAR, monetary policy macroeconomic news if the latter can be predicted on the basis of leading indicators
As seen in the table, the exchange rate demonstrates the strongest response to news informing that central banks altered interest rates ( – 0.00511, p < 0.05) and the stock market fluctuates (–0.0126, p < 0.05)
Summary
The study aims to offer a quantitative approach to assessing a reaction of the currency and stockTranslated 2 October 2017 market to macroeconomic news publication.Available online 14 December 2017 Methods The study employs descriptive statistics methods. The study aims to offer a quantitative approach to assessing a reaction of the currency and stock. Translated 2 October 2017 market to macroeconomic news publication. Available online 14 December 2017 Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector. JEL classification: E44, F31, F45, G14 Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days
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