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Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes...
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the bond market and its volatility; (2) the first two announcements did not exert any impact on the financial market, but … the third and fourth announcements helped to compress the yield and its volatility; (3) the program helped to restrain the … exchange rate depreciation and volatility in the foreign exchange market; and (4) the impact of the announcements on stock …
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correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial …
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volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …
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