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What determines the impact of macroeconomic news on asset markets?

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  • Strasser, Georg

Abstract

The most important determinant of an announcement’s impact on bond markets is its relationship to fundamentals, closely followed by its timing. Information which is imprecise but early can affect markets more than news which is precise but late. JEL Classification: G14, E37, E44, E47, C53, D83

Suggested Citation

  • Strasser, Georg, 2017. "What determines the impact of macroeconomic news on asset markets?," Research Bulletin, European Central Bank, vol. 37.
    • Handle: RePEc:ecb:ecbrbu:2017:0037:
    Note: 1137785
    as

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    References listed on IDEAS

    as
    1. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    2. Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?," Finance and Economics Discussion Series 2015-46, Board of Governors of the Federal Reserve System (U.S.).
    3. Stephen Morris & Hyun Song Shin, 2002. "Social Value of Public Information," American Economic Review, American Economic Association, vol. 92(5), pages 1521-1534, December.
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    Cited by:

    1. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.

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    More about this item

    Keywords

    forecasting; learning; Macroeconomic announcements; price discovery;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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