Time Variation in Asset Price Responses to Macro Announcements / Linda S. Goldberg, Christian Grisse.

Format:

Book

Author/Creator:

Goldberg, Linda S.

Contributor:

National Bureau of Economic Research.

Grisse, Christian.

Series:

Working Paper Series (National Bureau of Economic Research) no. w19523.

NBER working paper series no. w19523

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2013.

Summary:

Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability objectives of central banks, and the effect of news announcements on the risk premium.

Notes:

Print version record

October 2013.