Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets
AbstractThis study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to aÂ¤ect both conditional returns and volatility, with the eÂ¤ects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn out than in mature bond markets. International and regional macroeconomic news is at least as important as local news for both asset valuations and volatility dynamics in external emerging bond markets.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 09/147.
Date of creation: 01 Jul 2009
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-10 (All new papers)
- NEP-MAC-2009-10-10 (Macroeconomics)
- NEP-MST-2009-10-10 (Market Microstructure)
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