Главная  Журналы  Дайджест-Финансы  4(244) - 2017 октябрь-декабрь

Macroeconomic Determinants of the Currency and Stock Market Shocks: A Panel VAR Approach

Журнал «Дайджест-Финансы»
т. 22, вып. 4, декабрь 2017

Получена: 01.03.2017

Получена в доработанном виде: 16.03.2017

Одобрена: 31.03.2017

Доступна онлайн: 19.12.2017

Рубрика: SECURITIES AND FINANCIAL MARKETS

Коды JEL: E44, F31, F45, G14

Страницы: 379–391

https://doi.org/10.24891/df.22.4.379

Importance The article addresses the currency and stock market volatility caused by market participants' perception of macroeconomic news that central banks across opened economy countries take into account when making decisions on changes in the monetary policy.
Objectives The study aims to offer a quantitative approach to assessing a reaction of the currency and stock market to macroeconomic news publication.
Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method.
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.
Conclusions and Relevance The modern monetary policy of central banks implies no immediate measures against inflation spikes, therefore, the reaction of markets to publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.

Ключевые слова: currency shock, Panel Vector Autoregression, VAR, monetary policy

Список литературы:

1. Chirkova E.V., Sukhanova M.S. [Impact of the earnings’ guidance provided by public companies on their market capitalization and share price volatility in the Russian stock market]. Korporativnye finansy = Journal of Corporate Finance Research, 2013, no. 4, pp. 37‒52. (In Russ.)
2. Kondratov D.I. [Formation of the Russian rubles as an international currency]. Ekonomicheskii zhurnal VShE = The HSE Economic Journal, 2012, vol. 16, no. 3, pp. 367‒403. (In Russ.)
3. Kondratov D.I. [Recent approaches to reforming the global monetary system]. Ekonomicheskii zhurnal VShE = The HSE Economic Journal, 2015, vol. 19, no. 1, pp. 128‒157. (In Russ.)
4. Reboredo J.C., Rivera-Castro M.A. Gold and Exchange Rates: Downside Risk and Hedging at Different Investment Horizons. International Review of Economics & Finance, 2014, vol. 34, pp. 267–279. URL: https://doi.org/10.1016/j.iref.2014.07.005
5. Nazlioglu S., Soytas U., Gupta R. Oil Prices and Financial Stress: A Volatility Spillover Analysis. Energy Policy, 2015, vol. 82, pp. 278‒288. URL: https://doi.org/10.1016/j.enpol.2015.01.003
6. Jawadi F., Louhichi W., Ameur H.B., Cheffou A.I. On Oil-US Exchange Rate Volatility Relationships: An Intraday Analysis. Economic Modelling, 2016, vol. 59, pp. 329‒334. URL: https://doi.org/10.1016/j.econmod.2016.07.014
7. Turhan I., Hacihasanoglu E., Soytas U. Oil Prices and Emerging Market Exchange Rates. Emerging Markets Finance and Trade, 2013, vol. 49, iss. S1, pp. 21‒36.
8. Agudelo D.A., Gutiérrez M., Cardona L. Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis. Research in International Business and Finance, 2017, vol. 39, part A, pp. 115–127. URL: https://doi.org/10.1016/j.ribaf.2016.07.008
9. Allen D.E., McAleer M., Powell R.J., Singh A.K. Volatility Spillovers from Australia's Major Trading Partners Across the GFC. International Review of Economics & Finance, 2017, vol. 47, pp. 159‒175. URL: https://doi.org/10.1016/j.iref.2016.10.007
10. Della Corte P., Ramadorai T., Sarno L. Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 2016, vol. 120, iss. 1, pp. 21‒40. URL: https://doi.org/10.1016/j.jfineco.2016.02.015
11. Tunç C., Solakoğlu M.N. Does Exchange Rate Volatility Matter for International Sales? Evidence from US Firm Level Data. Economics Letters, 2016, vol. 149, pp. 152‒156. URL: https://doi.org/10.1016/j.econlet.2016.08.008
12. Rambaldi M., Pennesi P., Lillo F. Modeling Foreign Exchange Market Activity around Macroeconomic News: Hawkes-Process Approach. Physical Review, 2015, vol. 91, iss. 1.
13. Barunik J., Krehlik T., Vacha L. Modeling and Forecasting Exchange Rate Volatility in Time-Frequency Domain. European Journal of Operational Research, 2016, vol. 251, iss. 1, pp. 329‒340. URL: https://doi.org/10.1016/j.ejor.2015.12.010
14. Tian S., Hamori S. Time-Varying Price Shock Transmission and Volatility Spillover in Foreign Exchange, Bond, Equity, and Commodity Markets: Evidence from the United States. The North American Journal of Economics and Finance, 2016, vol. 38, iss. C, pp. 163‒171. URL: https://doi.org/10.1016/j.najef.2016.09.004
15. Omrane W.B., Hafner C. Macroeconomic News Surprises and Volatility Spillover in Foreign Exchange Markets. Empirical Economics, 2015, vol. 48, iss. 2, pp. 577‒607.
16. Redl C. Noisy News and Exchange Rates: A SVAR Approach. Journal of International Money and Finance, 2015, vol. 58, pp. 150‒171. URL: https://doi.org/10.1016/j.jimonfin.2015.08.002
17. Kenourgios D., Papadamou S., Dimitriou D. Intraday Exchange Rate Volatility Transmissions across QE Announcements. Finance Research Letters, 2015, vol. 14, pp. 128‒134. URL: https://doi.org/10.1016/j.frl.2015.05.007
18. Grossmann A., Love I., Orlov A.G. The Dynamics of Exchange Rate Volatility: A Panel VAR Approach. Journal of International Financial Markets, Institutions and Money, 2014, vol. 33, pp. 1‒27. URL: https://doi.org/10.1016/j.intfin.2014.07.008
19. Dąbrowski M.A., Papież M., Śmiech S. Exchange Rates and Monetary Fundamentals in CEE Countries: Evidence from a Panel Approach. Journal of Macroeconomics, 2014, vol. 41, pp. 148‒159. URL: https://doi.org/10.1016/j.jmacro.2014.05.005
20. Oseni I.O. Exchange Rate Volatility and Private Consumption in Sub-Saharan African Countries: A System-GMM Dynamic Panel Analysis. Future Business Journal, 2016, vol. 2, iss. 2, pp. 103‒115. URL: https://doi.org/10.1016/j.fbj.2016.05.004
21. Guriev S.M., Kolotilin A.D., Sonin K.I. [Determinants of expropriationing the oil sector: A theory and evidence from panel data]. Ekonomicheskii zhurnal VShE = The HSE Economic Journal, 2008, vol. 12, no. 2, pp. 151‒175. (In Russ.)

Посмотреть другие статьи номера »