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The literature documents a heterogeneous asset price response to macroeconomic news announcements. We explain this variation with a novel measure of the intrinsic value of an announcement - the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate - and...
Persistent link: https://www.econbiz.de/10012966952
The literature documents a heterogeneous asset price response to macroeconomic news announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an announcement --- the announcement's ability to nowcast GDP growth, inflation, and the federal funds target rate --- and...
Persistent link: https://www.econbiz.de/10012971842
We study the impact that macroeconomic news has on equity prices. While the literature has already widely documented the effects of macroeconomic announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news when the description of...
Persistent link: https://www.econbiz.de/10013239088
While the literature has already widely documented the effects of macroeconomic news announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news based on the description of the state of the economy as painted by the Federal Open...
Persistent link: https://www.econbiz.de/10013309615
We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...
Persistent link: https://www.econbiz.de/10013482590
This paper contributes to the debate of whether central banks can \lean against the wind" of emerging stock or house price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble...
Persistent link: https://www.econbiz.de/10011300629
This work quantifies the financial and macroeconomic effects of the most significant Brexit events from 23 June 2016 up to 31 December 2019 for fifteen economies. The study uses high-frequency data and shows that following the referendum outcome, overall the 10-year government bond yield of the...
Persistent link: https://www.econbiz.de/10013289046
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347
In financial markets, the success of an investor depends on the quality of information and the speed of his decision. Therefore, an accurate prediction allows investors to make informed decisions about investments and reduce risks. Until today, various researches have been carried out in order...
Persistent link: https://www.econbiz.de/10014350332
The stock market is a highly complex non-linear and chaotic system that is influenced by political, economic and psychological factors. Therefore, it seems very difficult to check this system. More scientific studies with an emphasis on the accurate identification of stock price behavior led to...
Persistent link: https://www.econbiz.de/10014350395