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The Effects of Macroeconomic News Announcements during the Global Financial Crisis

In: Risk Management Post Financial Crisis: A Period of Monetary Easing

Author

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  • Pilar Abad
  • Helena Chuliá

Abstract

In this chapter we investigate the response of bond markets to macroeconomic news announcements in the euro area. Specifically, we analyze the impact of (un)expected changes in the interest rate, unemployment rate, consumer confidence index and industrial production index on the returns, volatility and correlations of European government bond markets. Overall, our results suggest that, bond return volatility strongly reacts to news announcements and that the response is asymmetric. However, the influence of macroeconomic news announcements appears insignificant for bond returns. Finally, our results paint a complex picture of the effect of macroeconomic news releases on correlations.

Suggested Citation

  • Pilar Abad & Helena Chuliá, 2014. "The Effects of Macroeconomic News Announcements during the Global Financial Crisis," Contemporary Studies in Economic and Financial Analysis, in: Risk Management Post Financial Crisis: A Period of Monetary Easing, volume 96, pages 41-56, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:csefzz:s1569-375920140000096000
    DOI: 10.1108/S1569-375920140000096000
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    More about this item

    Keywords

    Monetary integration; bond markets integration; macroeconomic news; E44; F36; G15;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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