oes the Foreign News Matter? Název v anglickém jazyce: Switzerland as a Safe Haven: Does the Foreign News Matter?
|Author:||Bc. David Kühnl|
|Year:||2015 - summer|
|Leaders:|| Mgr. Iuliia Brushko M.A., Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||This thesis investigates the relationship between financial news and Swiss franc exchange rate in
the context of Switzerland being safe haven for European investors. We employ the ARMA-GARCH
econometric model extended by our custom component called “Floating Returns” to estimate the reaction
of the investors to particular financial news. We find out that the bad news lead to significant short-term
appreciation of the Swiss franc. Furthermore, we find out that not only the real macroeconomic data
but also the investors’ expectations are important for exchange rate determination. Finally, our model
quantify the reaction to the particular news depending on the expected values and the announced values.