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Which News Moves the Euro Area Bond Market?
Citations
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Cited by:
- Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
- Jean-Yves Filbien & Fabien Labondance, 2012. "Reactions Des Marches D’Actions De La Zone Euro Aux Annonces Non Anticipees De La Bce," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(2), pages 179-204.
- Paul Hubert, 2014.
"Disentangling qualitative and quantitative central bank influence,"
Sciences Po publications
2014-23, Sciences Po.
- Paul Hubert, 2014. "Disentangling qualitative and quantitative central bank influence," Working Papers hal-01098464, HAL.
- Paul Hubert, 2014. "Disentangling qualitative and quantitative central bank influence," SciencePo Working papers Main hal-01098464, HAL.
- Paul Hubert, 2014. "Disentangling qualitative and quantitative central bank influence," Documents de Travail de l'OFCE 2014-23, Observatoire Francais des Conjonctures Economiques (OFCE).
- Banerjee, Ameet Kumar & Pradhan, H.K., 2022. "Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond," Finance Research Letters, Elsevier, vol. 45(C).
- Jakob de Haan & David-Jan Jansen, 2009. "The communication policy of the European Central Bank: An overview of the first decade," DNB Working Papers 212, Netherlands Central Bank, Research Department.
- Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
- Donato Masciandaro & Davide Romelli & Gaia Rubera, 2021. "Monetary policy, Twitter and financial markets: evidence from social media traffic," BAFFI CAREFIN Working Papers 21160, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019.
"Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 449-479, February.
- Alexander Kurov & Alessio Sancetta & Georg H. Strasser & Marketa Halova Wolfe, 2015. "Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?," Boston College Working Papers in Economics 881, Boston College Department of Economics, revised 29 Jul 2015.
- Strasser, Georg & Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2016. "Price drift before U.S. macroeconomic news: private information about public announcements?," Working Paper Series 1901, European Central Bank.
- Kočenda, Evžen & Moravcová, Michala, 2018.
"Intraday effect of news on emerging European forex markets: An event study analysis,"
Economic Systems, Elsevier, vol. 42(4), pages 597-615.
- Evzen Kocenda & Michala Moravcova, 2016. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," Working Papers IES 2016/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2016.
- Evžen Kocenda & Michala Moravcová, 2018. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," CESifo Working Paper Series 7239, CESifo.
- Özbekler, Ali Gencay & Kontonikas, Alexandros & Triantafyllou, Athanasios, 2021.
"Volatility forecasting in European government bond markets,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1691-1709.
- Özbekler, Ali Gencay & Kontonikas, Alexandros & Triantafyllou, Athanasios, 2020. "Volatility Forecasting in European Government Bond Markets," Essex Finance Centre Working Papers 27362, University of Essex, Essex Business School.
- António Afonso & José Alves & Sofia Monteiro, 2023.
"Beyond Borders: Assessing the Influence of Geopolitical Tensions on Sovereign Risk Dynamics,"
Working Papers REM
2023/0300, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- António Afonso & José Alves & Sofia Monteiro, 2023. "Beyond Borders: Assessing the Influence of Geopolitical Tensions on Sovereign Risk Dynamics," CESifo Working Paper Series 10801, CESifo.
- Fricke, Christoph & Menkhoff, Lukas, 2011.
"Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares,"
Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1057-1072, May.
- Fricke, Christoph & Menkhoff, Lukas, 2010. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Hannover Economic Papers (HEP) dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Rosa, Carlo, 2013. "Market efficiency broadcasted live: ECB code words and euro exchange rates," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 167-178.
- Linzert, Tobias & Winkelmann, Lars & Bibinger, Markus, 2014. "ECB monetary policy surprises: identification through cojumps in interest rates," Working Paper Series 1674, European Central Bank.
- Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012.
"Modeling and explaining the dynamics of European Union Allowance prices at high-frequency,"
Energy Economics, Elsevier, vol. 34(1), pages 316-326.
- Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and explaining the dynamics of European Union allowance prices at high-frequency," ZEW Discussion Papers 10-038, ZEW - Leibniz Centre for European Economic Research.
- Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "What Moves the DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(23), pages 32-36, December.
- Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
- Lars Winkelmann & Markus Bibinger & Tobias Linzert, 2016. "ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 613-629, June.
- Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
- Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011.
"The impact of macroeconomic news on quote adjustments, noise, and informational volatility,"
Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
- Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES 2010-004, ULB -- Universite Libre de Bruxelles.
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2010. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFS Working Paper Series 2010/01, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Dieter Hess & David Veredas, 2011. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," ULB Institutional Repository 2013/136190, ULB -- Universite Libre de Bruxelles.
- Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility," SFB 649 Discussion Papers SFB649DP2010-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFR Working Papers 11-06, University of Cologne, Centre for Financial Research (CFR).
- Steiner, Christian & Groß, Anne & Entorf, Horst, 2009. "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers 09-010, ZEW - Leibniz Centre for European Economic Research.
- Jérôme Coffinet & Sylvain Gouteron, 2010.
"Euro‐Area Yield Curve Reaction to Monetary News,"
German Economic Review,
Verein für Socialpolitik, vol. 11(2), pages 208-224, May.
- Jérôme Coffinet & Sylvain Gouteron, 2010. "Euro-Area Yield Curve Reaction to Monetary News," German Economic Review, Verein für Socialpolitik, vol. 11, pages 208-224, May.
- Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79721, Verein für Socialpolitik / German Economic Association.
- Attinasi, Maria Grazia & Checherita-Westphal, Cristina & Nickel, Christiane, 2009. "What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?," Working Paper Series 1131, European Central Bank.
- Eva A. Arnold, 2013. "The Role of Data Revisions and Disagreement in Professional Forecasts," Macroeconomics and Finance Series 201303, University of Hamburg, Department of Socioeconomics.
- Hubert Paul, 2017.
"Qualitative and quantitative central bank communication and inflation expectations,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 17(1), pages 1-41, January.
- Paul Hubert, 2014. "Disentangling qualitative and quantitative central bank influence," Sciences Po publications 2014-23, Sciences Po.
- Paul Hubert, 2017. "Qualitative and quantitative central bank communication and inflation expectations," Post-Print hal-03409181, HAL.
- Paul Hubert, 2017. "Qualitative and quantitative central bank communication and inflation expectations," SciencePo Working papers Main hal-03409181, HAL.
- Daniel Jubinski & Marc Tomljanovich, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 86-97, September.
- Donato Masciandaro & Davide Romelli & Gaia Rubera, 2021.
"Monetary policy and financial markets: evidence from Twitter traffic,"
BAFFI CAREFIN Working Papers
21160, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Donato Masciandaro & Davide Romelli & Gaia Rubera, 2023. "Monetary policy and financial markets: evidence from Twitter traffic," Trinity Economics Papers TEP1023, Trinity College Dublin, Department of Economics.
- Baum, Christopher F. & Kurov, Alexander & Wolfe, Marketa Halova, 2015.
"What do Chinese macro announcements tell us about the world economy?,"
Journal of International Money and Finance, Elsevier, vol. 59(C), pages 100-122.
- Christopher F Baum & Alexander Kurov & Marketa W. Halova, 2013. "What do Chinese Macro Announcements Tell Us About the World Economy?," Boston College Working Papers in Economics 834, Boston College Department of Economics, revised 01 Jun 2015.
- Donato Masciandaro & Oana Peia & Davide Romelli, 2022. "Central Bank Communication and Social Media: From Silence to Twitter," BAFFI CAREFIN Working Papers 22187, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Lars winkelmann & Markus Bibinger & Tobias Linzert, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," SFB 649 Discussion Papers SFB649DP2013-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Forti Grazzini, Caterina & Rieth, Malte, 2017. "Interest Rates and Exchange Rates in Normal and Crisis Times," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168281, Verein für Socialpolitik / German Economic Association.
- Grothe, Magdalena & Lejsgaard Autrup, Søren, 2014. "Economic surprises and inflation expectations: Has anchoring of expectations survived the crisis?," Working Paper Series 1671, European Central Bank.
- repec:hal:spmain:info:hdl:2441/2t6uivimtr9438i2qqu6kgfded is not listed on IDEAS
- Madhusudan Karmakar & Sarveshwar Inani, 2019. "Information share and its predictability in the Indian stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1322-1343, October.
- Afonso, António & Jalles, João Tovar & Kazemi, Mina, 2020. "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads," International Review of Law and Economics, Elsevier, vol. 63(C).