The Impact of Macroeconomic News on the Price of Financial Assets

• Název práce v češtině: Vliv makroekonomických zpráv na cenu finančních aktiv
• Název v anglickém jazyce: The Impact of Macroeconomic News on the Price of Financial Assets
• Klíčová slova: finanční trh, GARCH, EGARCH, makroekonomické zprávy, komunikace centrální banky
• Klíčová slova anglicky: financial market, GARCH, EGARCH, macroeconominc news, central bank communication
• Akademický rok vypsání: 2014/2015
• Typ práce: bakalářská práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: Ing. Michala Moravcová, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 10.06.2015
• Datum zadání: 11.06.2015
• Datum a čas obhajoby: 15.06.2016 08:00
• Místo konání obhajoby: IES, m 314
• Datum odevzdání elektronické podoby: 11.05.2016
• Datum proběhlé obhajoby: 15.06.2016
• Oponenti: Mgr. Hana Džmuráňová, Ph.D.

Předběžná náplň práce v anglickém jazyce

There is a fair amount of evidence that macroeconomic news and central bank communication matter for the financial markets. More attention is paid to developed markets, while emerging markets are less examined. Frequently applied models to estimate asset price volatility are autoregressive conditional heteroscedastic (ARCH) models advanced by Engle (1982) and generalized (GARCH) model developed independently by Bollerslev (1986) and Taylor (1986).I will first investigate the overall characteristics of asset price reaction to macroeconomic news and central bank communication. Then I will take a closer look at the available techniques, which measure the impact of the news announcement on the financial markets. Afterwards, the hypothesis about the news impact on the asset price and volatility will be tested. Finally, I will present empirical results and conclusion.

Plan:

1. Introduction
2. Theoretical background
3. Data characteristics
4. Methodology
5. Hypotheses & Empirical results
6. Conclusion

Hypotheses:

1. Does the volatility of examined time series shows the characteristics of leverage effects, volatility clustering and persistence?
2. Do macroeconomic news announcements and central bank communication have the impact on the asset price value (conditional mean)?
3. Do macroeconomic news announcements and central bank communication have the impact on the asset price volatility (conditional variance)?

References:

Bartoloni, L., Goldberg, L., Sacarny, A., (2008). How Economic News Moves Markets.Federal Reserve Bank of New York, Vol. 14, Nb. 6.

Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, 307-327.

Égert, B. and Kočenda, E. (2013). The impact of macro news and central bank communication on emerging European forex markets. Monetary policy and international finance, June 2013.

Fang, C., Hyunsoo, Joo., Zhiwei, Z. (2009). The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets. Board of Governors of the Federal Reserve System, International Finance Discussion Papers, Nb. 973.

Fišer, R. and Horváth, R. (2010). Central bank communication and exchange rate volatility: a GARCH analysis, Macroeconomics and Finance in Emerging Market Economies, 3(1), 25–31.

Hanousek, J. and Kočenda, E. (2009), Intraday Price Discovery in Emerging European Stock Markets, CERGE-EI Working Paper No. 382.

Hanousek, J., Kočenda, E., Kutan, A. (2009). The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data,

Journal of Financial Stability 5 (2), 199–219.

Cakan, E., Doytch, N., Upadhyaya, K.P. (2014). Does US macroeconomic news make emerging financial markets more riskier? Borsa Istanbul Review 15-1 (2015), 37-43.