Work detail

The Impact of Macroeconomic News on the Price of Financial Assets

Author: Bc. Jakub Říha
Year: 2016 - summer
Leaders: Ing. Michala Moravcová
Consultants:
Work type: Bachelors
Language: English
Pages: 57
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/163441/
Abstract: This thesis investigates the effect of Czech macroeconomic news announcements and Czech National
Bank (CNB) communication on the price of financial assets and its volatility. As the financial assets we
selected the EUR/CZK and USD/CZK exchange rates and also the Prague stock PX Index. To analyze
the aforesaid effect we employed the GARCH (1,1) and EGARCH (1,1) models, each with Normal and
Student's t error distribution. The main results were that the CNB's communication indeed have
significant effect on the price of all three examined assets and surprisingly also tend to increase their
volatility. Also the macroeconomic announcements significantly influence examined assets however
significant macroeconomic indicators differ for each asset. The most influencing ones are: CPI,
1YPRIBOR and the unemployment rate. Another finding of our research was that volatility of examined
time series data shows the characteristics of leverage effect, volatility clustering and persistence.
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