EMU-related news and financial markets in the Czech Republic, Hungary and Poland

References

• Aggarwal , R and Schirm , DC . 1998 . Asymmetric impact of trade balance news on asset prices . Journal of International Financial Markets, Institutions and Money , 8 : 83 – 100 .
   Google Scholar
• Andritzky , JR , Bannister , GJ and Tamirisa , NT . 2007 . The impact of macroeconomic announcements on emerging market bonds . Emerging Markets Review , 8 : 20 – 37 .
   Google Scholar
• Baig , T . 2006 . Kumar, M., Vasishtha, G. and Zoli, E. , Fiscal and monetary nexus in emerging market economies: how does debt matter?, IMF Working Paper No. 06/184
   Google Scholar
• Berger , H . 2006 . Ehrmann, M. and Fratzscher, M. , Monetary policy in the media, ECB Working Paper No. 679
   Google Scholar
• Bollerslev , T . 1986 . Generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 31 : 307 – 27 .
   Web of Science ®Google Scholar
• Bollerslev , T . 1987 . A conditional heteroscedastic model for speculative prices and rates of return . Review of Economics and Statistics , 69 : 542 – 7 .
   Web of Science ®Google Scholar
• Bollerslev , T and Wooldridge , JM . 1992 . Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances . Econometric Reviews , 11 : 143 – 72 .
   Google Scholar
• Chaney , E . 2008 . Assessing pacification policy in Iraq . Journal of Comparative Economics , 36 : 1 – 16 .
   Google Scholar
• Doornik , J and Ooms , M . 2008 . Multimodality in the GARCH regression model . International Journal of Forecasting , 24 : 432 – 48 .
   Web of Science ®Google Scholar
• Engle , RF , Lilien , DM and Robbins , RP . 1987 . Estimating time-varying risk premia in the term structure: the ARCH-M model . Econometrica , 55 : 391 – 407 .
   Web of Science ®Google Scholar
• Engle , RF and Ng , VK . 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 749 – 78 .
   Google Scholar
• European Commission (2006) Autumn Economic Forecasts, Brussels
   Google Scholar
• Evans , M and Lyons , R . 2008 . How is macro news transmitted to exchange rates? . Journal of Financial Economics , 88 : 26 – 50 .
   Web of Science ®Google Scholar
• Fratzscher , M and Stracca , L . 2009 . Does it pay to have the euro? Italy's politics and financial markets under the lira and the euro ECB Working Paper No. 1064
   Google Scholar
• Gavin , W and Mandal , R . 2001 . Evaluating FOMC forecasts Federal Reserve Bank of St. Louis Working Paper Series No. 2001-005C
   Google Scholar
• Glosten , LR , Jagannathan , R and Runkle , DE . 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
   Web of Science ®Google Scholar
• Gravelle , T and Moessner , R . 2001 . Reactions of Canadian interest rates to macroeconomic announcements – implications for monetary policy transparency Bank of Canada Working Paper No. 2001-5
   Google Scholar
• Hanousek , J and Filer , RK . 2000 . The relationship between economic factors and equity markets in central Europe . Economics of Transition , 8 : 623 – 38 .
   Web of Science ®Google Scholar
• Hanousek , J , Kočenda , E and Kutan , A . 2009 . The reaction of asset prices to macroeconomic announcements in new EU markets . Journal of Financial Stability , 5 : 199 – 219 .
   Google Scholar
• Hayo , B and Kutan , A . 2005a . IMF-related news and emerging financial markets . Journal of International Money and Finance , 24 : 1126 – 42 .
   Web of Science ®Google Scholar
• Hayo , B and Kutan , A . 2005b . The impact of news, oil prices and global market developments on Russian financial markets . Economics of Transition , 13 : 373 – 93 .
   Web of Science ®Google Scholar
• Hendry , DF . 1995 . Dynamic Econometrics , Oxford : Oxford University Press .
   Google Scholar
• International Monetary Fund (2006) Annual Report on Exchange Arrangements and Exchange Restrictions, Washington
   Google Scholar
• Joyce , M and Read , V . 1999 . Asset price reactions to RPI announcements Bank of England Working Paper No. 94
   Google Scholar
• Kiss , NM . 2004 . The effects of macroeconomic news on money markets MNB Occasional Paper No. 2004/30
   Google Scholar
• Kočenda , E and Valachy , J . 2006 . Exchange rate volatility and regime change: a Visegrad comparison . Journal of Comparative Economics , 34 : 727 – 53 .
   Web of Science ®Google Scholar
• Luengnaruemitchai , P and Schadler , S . 2007 . Do economists’ and financial markets’ perspectives on the new members of the EU differ? IMF Working Paper No. 07/65
   Google Scholar
• Nelson , D . 1990 . Stationarity and persistence in the GARCH(1,1) model . Econometric Theory , 6 : 318 – 34 .
   Web of Science ®Google Scholar
• Onder , Z and Simga-Mugan , C . 2006 . How do political and economic news affect emerging markets? Evidence from Argentina and Turkey . Emerging Markets Finance and Trade , 42 : 50 – 77 .
   Web of Science ®Google Scholar
• Pearce , DK and Roley , VV . 1985 . Stock prices and economic news NBER Working Paper Series No. 1296
   Google Scholar