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The Effects Of Labor Market News On International Financial Markets

Author

Listed:
  • Adrian Cantemir CĂLIN

    () (Institute for Economic Forecasting, Romanian Academy)

  • Radu LUPU

    (Institute for Economic Forecasting, Romanian Academy)

Abstract

The dynamics of financial markets tends to be influenced by the launch of news. This new information generates a series of effects that ripple through the markets on all kinds of levels. In this paper we consider a series of announcements specific to the labor market and aim to test their potential impact on a basket of financial assets. We employ three volatility models and observe the fact that labor market announcements induce solid reverberations on a large set of financial assets.

Suggested Citation

  • Adrian Cantemir CĂLIN & Radu LUPU, 2016. "The Effects Of Labor Market News On International Financial Markets," Romanian Economic Business Review, Romanian-American University, vol. 11(2), pages 207-215, June.
  • Handle: RePEc:rau:journl:v:11:y:2016:i:2:p:207-215
    as

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    File URL: http://www.rebe.rau.ro/RePEc/rau/journl/SU16/REBE-SU16-A20.pdf
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    References listed on IDEAS

    as
    1. Lucian Liviu Albu & Radu Lupu & Cantemir Adrian Călin & Oana Cristina Popovici, 2014. "Estimating the Impact of Quantitative Easing On Credit Risk through an ARMA-GARCH Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 39-50, October.
    2. Thomas Gilbert & Chiara Scotti & Georg H. Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?," Boston College Working Papers in Economics 874, Boston College Department of Economics, revised 23 Apr 2015.
    3. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
    4. Simpson, Marc W. & Ramchander, Sanjay & Chaudhry, Mukesh, 2005. "The impact of macroeconomic surprises on spot and forward foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 693-718, September.
    5. Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C., 2012. "How are shorts informed?," Journal of Financial Economics, Elsevier, vol. 105(2), pages 260-278.
    6. Alicia Garcia-Herrero & Eric Girardin & Enestor Dos Santos, 2015. "Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets," Working Papers 1512, BBVA Bank, Economic Research Department.
    7. Louis Ederington & Jae Ha Lee, 2001. "Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH, Announcement, and Seasonality Effects," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(6), pages 517-552, June.
    8. Radu Lupu & Adrian Cantemir Calin, 2014. "To QE or Not to QE? The Japanese Experience," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 2(2), pages 3-10, June.
    9. LUPU, Radu & CALIN, Adrian Cantemir, 2014. "Co-Movements Of Regime Shifts In Gbp Currency Pairs Around Boe Quantitative Easing Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(3), pages 89-101.
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    Keywords

    labour market; volatility; event study;

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