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THE IMPACT OF POLITICAL AND ECONOMIC NEWS ON THE EURO/RON EXCHANGE RATE: A GARCH APPROACH

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Author(s): Cristi Spulbăr | Mihai Niţoi

Journal: Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
ISSN 1844-7007

Volume: 4.I;
Issue: 4.I;
Start page: 52;
Date: 2012;
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Keywords: political news | economic news | exchange rate | volatility clustering | GARCH model

ABSTRACT
Within this study we try to capture the impact of political news and economic news from euro area on the exchange rate between Romanian currency and euro. In order to do this we used a GARCH model. As we observed, both variables influence the exchange rate, this fact implying national currency depreciation and a volatility growth. The political news and the economic news positively affect the euro/ron exchange rate volatility. The two factors conjugation, as it has happened in the recent period is to be avoided because it can have financial and economic consequences with a very high cost for Romania.
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