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How economic news moves markets

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Author Info

  • Leonardo Bartolini
  • Linda Goldberg
  • Adam Sacarny

Abstract

Exploring how the release of new economic data affects asset prices in the stock, bond, and foreign exchange markets, the authors find that only a few announcements - the nonfarm payroll numbers, the GDP advance release, and a private sector manufacturing report - generate price responses that are economically significant and measurably persistent. Bond yields show the strongest response and stock prices the weakest. The authors' analysis of the direction of these effects suggests that news of stronger-than-expected growth and inflation generally prompts a rise in bond yields and the exchange value of the dollar.

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Bibliographic Info

Article provided by Federal Reserve Bank of New York in its journal Current Issues in Economics and Finance.

Volume (Year): 14 (2008)
Issue (Month): Aug ()
Pages:

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Handle: RePEc:fip:fednci:y:2008:i:aug:n:v.14no.6

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Related research

Keywords: Economic indicators ; Bond market ; Assets (Accounting) - Prices ; Stock - Prices ; Foreign exchange market;

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Citations

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Cited by:
  1. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  2. Markus Bruckner & Evi Pappa, 2011. "For an Olive Wreath? Olympic Games and Anticipation Effects in Macroeconomics," School of Economics Working Papers 2011-18, University of Adelaide, School of Economics.
  3. Linda S. Goldberg & Christian Grisse, 2013. "Time variation in asset price responses to macro announcements," Staff Reports 626, Federal Reserve Bank of New York.
  4. Chiou-Wei, Song-Zan & Linn, Scott C. & Zhu, Zhen, 2014. "The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 156-173.
  5. Linda S. Goldberg & Michael W. Klein, 2010. "Evolving Perceptions of Central Bank Credibility: The European Central Bank Experience," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 153-182 National Bureau of Economic Research, Inc.
  6. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2011. "On the Effects of Private Information on Volatility," Tinbergen Institute Discussion Papers 11-077/4, Tinbergen Institute.
  7. James D. Hamilton & Seth Pruitt & Scott Borger, 2011. "Estimating the Market-Perceived Monetary Policy Rule," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 1-28, July.
  8. Michael D. Bauer, 2011. "Nominal interest rates and the news," Working Paper Series 2011-20, Federal Reserve Bank of San Francisco.
  9. Daniel L. Thornton, 2009. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Working Papers 2009-037, Federal Reserve Bank of St. Louis.
  10. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 361-385.

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