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Markets Look Beyond the Headline

Author

Listed:
  • Bruno Feunou
  • James Kyeong
  • Raisa Leiderman

Abstract

Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.

Suggested Citation

  • Bruno Feunou & James Kyeong & Raisa Leiderman, 2018. "Markets Look Beyond the Headline," Staff Analytical Notes 2018-37, Bank of Canada.
    • Handle: RePEc:bca:bocsan:18-37
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    File URL: https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-37/
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    References listed on IDEAS

    as
    1. Refet S. Gürkaynak & Burçin Kisacikoğlu & Jonathan H. Wright, 2020. "Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises," American Economic Review, American Economic Association, vol. 110(12), pages 3871-3912, December.
    2. Bruno Feunou & Corey Garriott & James Kyeong & Raisa Leiderman, 2017. "The Impacts of Monetary Policy Statements," Staff Analytical Notes 17-22, Bank of Canada.
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    More about this item

    Keywords

    Asset Pricing; Exchange rates; Interest rates;
    All these keywords.

    JEL classification:

    • E - Macroeconomics and Monetary Economics
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G - Financial Economics
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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