Media Coverage and Macroeconomic Information Processing
AbstractThis paper investigates how media coverage influences macroeconomic information processing at the bond market. I provide evidence that a high media coverage of an economic topic increases investor attention prior to the release of the corresponding economic indicator: High media coverage of the business cycle leads to a stronger market reaction to the release of gross domestic product, industrial production and IFO business index than low media coverage. High media coverage of the price level increases the market reaction to the release of producer and consumer price index than low media coverage. High media coverage of unemployment leads to a stronger market reaction to the release of the unemployment rate than low media coverage.
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-011.
Length: 31 pages
Date of creation: Mar 2007
Date of revision:
Media Coverage; Information Processing; Economic Indicators.;
Find related papers by JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-17 (All new papers)
- NEP-CUL-2007-03-17 (Cultural Economics)
- NEP-MAC-2007-03-17 (Macroeconomics)
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