The impact of macro news and central bank communication on emerging European forex markets

Abstract

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News on inflation and the epidemiology of inflation expectations in China

“…Carroll (2003) perceptively put forward an epidemiological mechanism of expectation formation, according to which economic agents update their expectations from the media. This framework is consistent with the spirit of the sticky information model proposed by Mankiw and Reis (2002) and applied to analyze the impact of macroeconomic news and central bank communication on economic variables (Égert and Kočenda, 2014).…”

Investor response to public news, sentiment and institutional trading in emerging markets: A review

“…Robitaille and Roush (2006) provide evidence about the impact of the US macro data and the FOMC announcements on the stock market index in Brazil and on the yield spread on the Brazilian government dollardenominated bonds market. Moura and Gaião (2014) In the area of the foreign exchange market studies, Égert and Kočenda (2014) analyze the impact of central bank and macroeconomic news in the Czech Republic, Hungary and Poland using foreign exchange market data for the period 2004-2009 and a non-linear dynamic modeling framework. Their model allows the adjustment of the exchange rate to move back to equilibrium at different speeds, which is driven by the size of the exchange rate deviation from equilibrium.…”

Macro News and Exchange Rates in the BRICS

“…), and the results rationalised on the basis of different models of exchange rate determination, such as the monetary or the portfolio balance model (e.g., Balduzzi et al, 2001). Most of the available evidence concerns the developed economies, and typically considers only mean spillovers; one of the few exceptions is the study by Egert and Kocenda (2014), who focused on the CEECs and estimated GARCH models. Interestingly, some papers have considered investor psychology and linked media pessimism to low investor sentiment (Tetlock, 2007).…”