Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004
link between macroeconomic fundamentals and the bond
market, with unexpected increases in real activity and inflation … real
shocks and positive inflation shocks affect bond prices negatively, and moreover, that the absolute size of
news …
predict that good domestic news (e.g., brisk real activity, low inflation) should strengthen the domestic
currency, although …