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Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

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  • International Monetary Fund

Abstract

This 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 a¤ect both conditional returns and volatility, with the e¤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 Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 09/147.

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Length: 31
Date of creation: 01 Jul 2009
Date of revision:
Handle: RePEc:imf:imfwpa:09/147

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Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
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Web page: http://www.imf.org/external/pubind.htm
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Related research

Keywords: Emerging markets; Announcements; Bonds; Economic models; Private investment; Sovereign debt; news; bond; bond markets; emerging market bonds; emerging bond markets; sovereign bonds; financial markets; denominated bonds; bond prices; bond returns; treasury bonds; bond market; financial market; corporate bonds; treasury bond; financial stability; government bond; asset valuations; international financial markets; futures markets; press; bond trading; bond index; eurobond; treasury futures; high-yield corporate bonds; stock prices; stock market; equity markets; bond futures; financial sector; stock price; financial institutions; bond yield; sovereign bond; eurobonds; government bond yield; emerging market bond; market bond; bond issuance; financial sector performance; bond return; liquid markets; stock markets; sovereign bond markets; publishers; benchmark bonds; asset valuation; financial economics;

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Cited by:
  1. Jesús Gonzalo & AbderrahimTaamouti, 2012. "The reaction of stock market returns to anticipated unemployment," Economics Working Papers we1237, Universidad Carlos III, Departamento de Economía.
  2. Yacine Aït-Sahalia & Jochen Andritzky & Andreas Jobst & Sylwia Nowak & Natalia Tamirisa, 2010. "Market Response to Policy Initiatives during the Global Financial Crisis," NBER Working Papers 15809, National Bureau of Economic Research, Inc.
  3. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo Group Munich.
  4. Caitlin Ann Greatrex & Erick W. Rengifo, 2010. "Government Intervention and the CDS Market: A Look at the Market's Response to Policy Announcements During the 2007-2009 Financial Crisis," Fordham Economics Discussion Paper Series dp2010-12, Fordham University, Department of Economics.
  5. International Monetary Fund, 2009. "How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis," IMF Working Papers 09/204, International Monetary Fund.

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