Macroeconomic News and Real Interest Rates / Kevin L. Kliesen, Frank A. Schmid.

Format:

Datafile

Contributor:

Kliesen, Kevin L.

Schmid, Frank A., 1962-

Inter-university Consortium for Political and Social Research.

Series:

ICPSR (Series) ; 1330.

ICPSR ; 1330

Language:

English

Genre:

Academic theses.

Physical Description:

1 online resource.

Place of Publication:

Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 2006.

System Details:

Mode of access: World Wide Web.

data file

Summary:

Economic news affects the perceptions of investors, forecasters, and policymakers about the strength or weakness of the economy. These expectations are updated on the basis of regularly occurring surprises in macroeconomic announcement data. The response of asset prices to positive or negative announcement surprises has been a regular feature of the literature for more than 20 years. In this vein, the authors evaluate the responses of the yield of 10-year Treasury inflation-indexed securities to nearly three dozen macroeconomic announcements. They find that the real long-term rate of interest responds positively to surprises in a handful of key macroeconomic indicators, including labor productivity growth. Also, the authors find no support for the proposition that the Federal Reserve has information about its actions or the state of the real economy that is not in the public domain and, hence, not already priced in the real long-term interest rate.

Notes:

Title from ICPSR DDI metadata of 2008-01-04.

OCLC:

190872110

Access Restriction:

Restricted for use by site license.