This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A … shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response …

different, the risk dynamics share remarkably common features: PC1 shocks come solely from asset volatility, while PC2 shocks …

around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …

volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a … these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …