Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004 - rev
monetary
policy. For instance, Rigobon and Sack (2003a) find that an increase in U.S. stock prices significantly increases the … many empirical studies seeking to link the effects of macroeconomic
announcements to movements in stock, bond and foreign … size of
news effects generally increases with the maturity of the instrument.
2
Many of the recent developments in the …