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Waves Across the Atlantic: How Macro Releases Ripple Through Euro Area Markets

Author

Listed:
  • Rokas Kaminskas

    (Lietuvos bankas, ISM University of Management and Economics)

  • Linas JurkÅ¡as

    (Lietuvos bankas, Vilnius University)

Abstract

We provide evidence regarding how European and U.S. macroeconomic and monetary policy events affect euro area markets. By analyzing over 170 macroeconomic indicators from 2002 to 2024Q1, we assess the impacts across different events, countries, and time periods. We rely on a high-frequency impact identification strategy and estimate the effects of releases on market variability and the directional effects of surprises across different markets. We find that, compared to European data releases, U.S. events tend to have a more pronounced effects on euro area markets. On average, monetary and employment events induce the strongest repricing in euro area financial markets. In most of the specifications, long-term sovereign yields were more sensitive to macroeconomic releases than other instruments, while short-term bonds and stock prices were impacted much less frequently

Suggested Citation

  • Rokas Kaminskas & Linas JurkÅ¡as, 2024. "Waves Across the Atlantic: How Macro Releases Ripple Through Euro Area Markets," Bank of Lithuania Discussion Paper Series 38, Bank of Lithuania.
    • Handle: RePEc:lie:dpaper:38
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    More about this item

    Keywords

    macroeconomic news; macroeconomic releases; monetary policy; euro area; financial markets.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • 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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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