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The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility

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  • Sukriye Tuysuz

    (Yeditepe University, Turkey.)

  • Catherine Lubochinsky

    (Pantheon-ASSAS-Paris 2, France.)

Abstract

This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher during periods of financial or economic instability. We use these results to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially “good” and “large” news, on interest rates are amplified during "high" uncertainty periods. The effect on stock returns is moderate. GARCH parameters differ strongly during both periods.

Suggested Citation

  • Sukriye Tuysuz & Catherine Lubochinsky, 2019. "The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility," European Journal of Business and Management Research, European Open Science, vol. 4(4), August.
    • Handle: RePEc:epw:ejbmr0:v:4:y:2019:i:4:id:50048
    DOI: 10.24018/ejbmr.2019.4.4.48
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